Trusted apps from the App Store
Unlike the iOS App Store, the Mac App Store isn't the single repository for all apps you can install on the platform (excluding jailbreak). Developers are in no way obligated to make their apps available via the Mac App Store; in fact most choose not to.

As to why, that discussion is probably off-topic on this site. However there are many technical restrictions placed upon App Store apps that are generally incompatible with the way an antivirus-type application (eg. Malwarebytes) needs to operate.

This is why Apple Support would routinely point you to an app that is not available on the Mac App Store.