A lot of what Malwarebytes finds relates to 'potential threats', rather than to actual immediate ones.
For example, you might download the installation file for a program which (during the installation process) will offer you lots of unwanted extras. If you don't actually run that installation file, you won't get the 'extras'. Similarly, if you take care to deselect any pre-ticked boxes when you run the installation file (just as you did with Malwarebytes itself), you won't get the 'extras'.
However Malwarebytes sees that the installation file contains PUPs (= 'potentially unwanted programs'), and flags up that fact, but it can't actually remove them because they're embedded into a file which you might really need.
So just because Malwarebytes identifies the presence of PUPs (etc), it doesn't mean that there's an immediate threat. Just keep running it, say, once per fortnight and everything will be fine.