Malware is a broad category that just means MALicious softWARE, and many would include Facebook in that category for the amount of data it gathers from their users and sells to advertisers. Review the information provided here:
Effective defenses against malware and ot… – Apple Community
For emails/messages, NEVER call a number or click a link and give any personal information. That is the most prominent way users accounts become compromised. There is not a third party piece of software installed that is going to prevent that from happening.