Proton's whole thing is it's meant to be secure, private, encrypted, etc. To achieve that, it requires the Proton app or website as an endpoint, so your email never leaves Proton's environment. As long as your reading your email in the Proton app/site, they can guarantee its privacy and security.
Once it sends your emails to Thunderbird or another client, it's leaving the Proton environment, and they can no longer control it. You're sacrificing the inherent privacy/security of Proton when you use Thunderbird (they claim).
All of that being said, it's an absolutely bullshit excuse. Tutanota does this same shit, only they don't even provide the bridge like Proton does.
It's true it's technically more secure for those emails to stay in the Proton environment, but they're still your god damn emails, and they should operate like every other email service by giving the user the option to export those emails in whatever way they damn well please, for free.
It's just more platform lock-in garbage. Your emails are trapped on their server, so they'll be no moving away to a different provider easily.