Software installs services to make its features operate, including optional default off ones. More news at 10.
Either it does it at install time, or when you try to turn on the VPN after subscribing to it, it pops an UAC prompt to finish installing optional components. That's standard practice, and it's good for security because it means they can flag the browser itself as not capable of elevating privileges. They're not going to put a gaping security hole in their software so that idiots don't write articles about "installing things without your concent". You already consented to installing Brave, you can't be surprised Brave is installed.
As long as it deletes them when you uninstall, this is a complete non-issue.