Kaspersky Plus blocked malicious link?

[QuintessentialUsername]

Hi everyone

I clicked on a link and the webpage only partially loaded before a notification from Kaspersky popped up (I can't remember what it said, sorry).

Anyway, according to the ''Safe Browsing'' report the link that was blocked was for a .jpg image, though this isn't the link I clicked on so I assume it was embedded in the webpage?

I'm using Brave Browser which I understand isn't supported/protected by Kaspersky Plus. With this in mind how is it possible for Kaspersky to still monitor and block dangerous sites? I've read that Kaspersky can't block files accessed via Brave Browser, that it can only remove them once downloaded - as such should I consider my machine compromised following this event or can I rest easy? The red warning legend in the report has me worried 

Thanks in advance.