It certainly isn’t a “myth” – typically privacy extensions do what they say they do (at least those that are relatively reputable) and some of them may have additional functionality not included by default in Brave (although to be fair, this is relatively rare, as Brave + Shields combine and implement the best privacy features out of the box).
The issue with installing a bunch of extensions in the name of privacy (or just in general really) – esp in Brave – is that you are inheriting whatever risks may be associated with those extensions since they’re managed by third parties.
For example, let’s say you install Ghostery, HTTPSE and maybe Privacy Badger extensions in your browser. Each of these extensions are updated and maintained by separate developers, which means it’s up to each of those developers to ensure that their extension doesn’t have any security vulnerabilities and/or that those extensions aren’t doing anything shady with your data. Not that I’m saying that these (or any) extensions are inherently not worthy of your trust, but even companies/devs with the best of intentions make mistakes, get hacked, etc. So each extension installed has the potential to be an attack vector.
Meanwhile, Brave comes with [pretty much] all the necessary privacy/security features out of the box in one package. All the code is maintained by the same team (thats us) and everything gets updated at the same time. Further, Brave is open source and transparent – all of the code can be found online on our Github and is/can be regularly audited.
So in my opinion, I would feel safer with an all-in-one approach to both browsing and privacy, rather than having to place my trust in several other third party entities that aren’t always transparent and may or may not be reliable.
Great questions – hope this helps at least a little.