With new version, they’ll move phishing protection to Web Shield. Also, to show webpage ratings and block trackers, you need browser integration because it cannot be done with a scanning layer like Web Shield.
And the reason why they use browser extension is to display warning within browser in the appropriate tab. If you block something with Web Shield, it’ll show the warning popup on desktop, but you’ll have no idea which tab was it if you have many open.
Though, I think some AV’s inject warnings into tab somehow without using browser extension. I’m gonna try asking devs about it…