I believe this is because SonarLint only works with internal analyzers, those maintained by SonarSource, whether or not you’re connected to a SonarQube server. Findbugs, PMD, Checkstyle, etc., are considered external analyzers, and therefore not supported by SonarLint.
I’m having the same issue here with Java developers who think SonarLint = SonarQube. It doesn’t help that the SonarLint web site doesn’t make a clear distinction between what the plugin supports and what it doesn’t anymore.
SonarSource, feel free to correct me if I’m wrong. My knowledge is based on trial-and-error combined with reading old posts on the subject.