Web Protection is over-rated, plus your web browsers can provide OK-levels of protection from Phishing and Malware sites (ie. Chrome and IE excel in that spot).
ZenMate for Chrome, provides an encrypted connection using their VPN locations. I'm currently using both HTTPS Everywhere and ZenMate with no problems and plus the Devs haven't any info whether they're compatible or not.
Walter's reason may most likely be different.