- The main issue is that your private key is supposed to be secret – not uploaded to a server you don't control. Of course Protonmail encrypts it, but passphrases are supposed to be an additional layer of security, not the only one. If Protonmail has a data breach, is compelled to surrender your keys or turns out to be untrustworthy, your messages are only as secure as your password.
- You cannot control when a web app is updated or verify that everyone else got the same update. So Protonmail – or an attacker that took control of their systems – could give you an update that gives them your unencrypted keys. That may be mostly a theoretical issue because few people do that with their local software either. Still, I'd trust the Debian/Ubuntu repositories more.
- Web apps have additional attack surfaces compared to local software. Malicious browser extensions can't access the data of local software, nor is local software suspectible to things like XHR attacks.