Because those features can involve uploading your browsing history to 3rd parties... does Microsoft check locally against malicious site lists, or does it upload every address you visit in order to tell you it's safe?
MS don't have a publicly documented API, which makes it harder to know what's being sent (short of reverse-engineering it), but Google's never uploads actual addresses (it almost always only uploads the uppermost 32-bits of the SHA256 hash of the address, and it never uploads the full hash).