Because Defender already covers what DNS blacklists block and more with less false positives and a proper way to manage exceptions for non-technical people. Older malware is a solved problem for Defender since it's literally pre-installed everywhere. VPN providers don't have a way to manage DNS blacklist exceptions, so have fun disabling your VPN to do any research. You also don't get to choose the blacklists your VPN provider uses. Saying 3. is not a point is like saying malware that's always able to bypass your anti-malware solution is irrelevant.