Not necessarily, some of the "security suites" do add a browser add-on or IP filter that blocks (their, continually growing) list of malicious sites. However these all-encompassing suites, slow down a computer the maximum amount as well as maximum annoyance, and these malicious sites have to be live for a while to be detected, added to the list, and make the next round of updates.
The concept of black/whitelisting 'harmful' websites is so obviously bad. There are likely millions of websites, and the very least thousand of small-time scammers all wanting their own 'phone us' page. Furthermore, a page may be considered harmful to visit for less than 24 hours (e.g. a high-profile website with a dodgy advertising banner, or a scam page that is purposefully taken down and moved elsewhere to evade detection). How long will it take for a big-name security product to add/remove a site to their blacklist?
Maybe some security suite might have caught it, maybe not. Clueless end users think this software *will* protect them. "Oh well, I'm not getting a warning from my security software, must be legit!"
IMO if the security suites are going to do anything at all wrt web browsing protection, then they should simply have a spam-type filter on web page content and if certain wording is detected that highly suggests the user is reading a scam, a warning should appear for them to use caution. But then, advising users to be cautious would fly in the face of the typical sales scheme used to sell this software.