Im curious why Apple support recommended that I download Malwarebytes Anti-Malware, an app that is not available for download from the App Store. That seems strange to me. Why is that app not on 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.
The Apple Support people were simply providing good customer service.
If you go to a retail store asking for help with a problem, would you rather that they (a) state the problem cannot be solved (because they do not carry such products in their store), or (b) give you directions to another store that carries the product you need?