They co-exist just fine. The reason you shouldn't install two AV programs is that their resident shields often conflict. Any program that has a resident component hooks into Windows. Any time a file is opened by a user the AV program will pause the open of the file and silently scan the file in the background. If no infection is found the file is opened normally and the user doesn't even know the scan happened.
This is where the conflict comes in if you install two programs with resident components. They both put hooks in the same place and both try to scan the same file at the same time. As others have pointed out, Malwarebytes (free) does not have an active component so there is no conflict.
As for why you would want two programs doing effectively the same thing... isn't it obvious? Not all protection programs are created equal. Every single AV program will miss things that some other program out there will find. That's the nature of the industry. There are literally hundreds of thousands of viruses out there. No AV program is, or ever will be, 100% perfect (most are in the 90%-95% ballpark). Running a second tool will help pick up the infections that are missed by your main tool.
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