Well its kind of a catch 22 situation, you can run Mbam next to your AV as Umbra pointed out. And imo they are the exception to the rule.
Because the rule states: Do not run multiple AV.
Mbam actually can run next to a AV if you insist and if you know what you are doing.
However if you are just a home user who does not know then you might want to stick with the rule.
That's basically the bottom line.
Malwarebytes has been developed to be a complementary tool next to your main AV, however the real world shows that even with all the efforts by Mbam the competition does not welcome them and this is being reflected in their products.
Hence why you need to exclude some things, otherwise you will run into trouble.