I can't speak for Mozilla, but we have our own desktop and mobile apps because it enables us to do more privacy-preserving things with a higher assurance. Consider for instance DNS leaks, Teredo leaks, IPv6 leaks, esoteric DHCP directives that can hack your routing tables, and so on.
And these are just a few of the things we were early in mitigating correctly. Consider also the tight relationship between UX and security, and it is clear that we can't rely on "generic VPN clients" to always agree with our design and security preferences. That doesn't mean they are wrong and we are right of course. It's just that we have a very specific mission.
One architecture decision we made for our app was to write its backend in Rust, and integrate tightly with the firewalls on Windows, macOS, and Linux. It facilitates stability and therefore reduces the risk of states where data leak outside of the tunnel. Check it out, it's open source. As all security-related things should be.