Why is it better to max out the 401k than just do the employer match and Roth IRA?

I'm going through the Tax Optimization lesson on here and am a little confused.

At my last job, we didn't get any sort of retirement plans, so I had to DIY which meant a Roth IRA and a Brokerage account.

At my current job, I'm investing a teeny bit beyond the company match(they match up to 5%, I'm contributing 6%). There's no HSA for us here. According to step 3, it says to max out my Roth. BUT here's where I'm getting confused. We can only add 7,500 a year to our Roth IRAs. My expenses are $14,400 a year, so around double what I could season and pull out of a Roth. I imagine that's actually the case for many of us!

I've been thinking it more along these lines:

1. 401k up to employer match
2. max out Roth IRA
3. Brokerage account for the rest

I'm sure that's flawed thinking because of the recommendation, but I more want to understand the WHY. Figured there's plenty of folks here much smarter than me, so this is an ideal place to ask. Thanks in advance for any insight ya'll may share!