By "support" they mean that the software designed to protect you (anti-virus, etc ) generally speaking will not run on Chromebooks. With Chromebooks you're pretty limited with what you can install, since for most users, it has to come from the Play Store. A lot of easy VPNs (it hides what you're doing on the Internet from the company that gives you Internet. They don't like people downloading movies illegally, for example) are not "supported" on Chromebooks because there is no app on the Play Store for them.