Your question brings up the subject of removing adware. This is a general comment on that subject.
The only tools that anyone needs to detect and remove adware are the Finder and a web browser, both of which you already have. Anyone who has enough computer skill to install adware can just as well remove it without using anything else.
Under no circumstances should you ever allow anti-virus software to delete something for you.
Apple doesn't endorse any third-party "anti-virus" or "anti-malware" product. Here and here are its general statements about malware protection, and here are its instructions for removing the most common types of ad-injection malware. None of those support pages mentions anti-malware products. An Apple employee who recommends such a product is speaking only for himself or herself, not for the company. See this thread for an example of what the results can be.
You become infected with malware by downloading unknown software without doing research to determine whether it's safe. If you keep making that mistake, the same, and worse, will keep happening, and no anti-malware will rescue you. Your own intelligence and caution are the only reliable defense.
The Windows/Android anti-malware industry had more than $75 billion in sales in 2014 [source: Gartner, Inc.] Its marketing strategy is to convince people that they're helpless against malware attack unless they use its products. But with all that anti-malware, the Windows and Android platforms are still infested with malware—most of it far more harmful than mere adware. The same can be expected to happen to the Mac platform if its users trust the same industry to protect them, instead of protecting themselves.
You are not helpless, and you don't have to give full control of your computer—and your data—to strangers in order to be rid of adware.
These are generalities. Regarding the "malwarebytes" product in particular, you may be told that there are no reports that is has caused damage. In fact, I know of two such reports: one by ASC user Big Kev55 in this thread, and one by LizardMBP in this thread. Draw your own conclusions from those reports. There are also many reports that the Windows version of the product has deleted essential Windows system files; see, for example, this thread on the developer's own support forum.
Whether the software damages the system or not, it takes full control and connects to a server controlled by the developer. There is no way of knowing what information it sends to that server.
The question then is: as a security-conscious computer user, do you want to take such risks when there is no offsetting benefit whatsoever?