If you excuse some speculation: (clarifications appreciated of course.)

If i remember correctly, ages ago (Windows Server 2003?) Microsoft introduced in-kernel HTTP-handling for the IIS web-server. I think it was for performance improvements with less copying between kernel- and user-space memory.

I suspect the for me unknown WinHTTP apis mentioned here could use these optimizations? Maybe that's why they mention security requirements? (Which would obviously be needed when doing parsing in the kernel.)