Second-Generation Managed Package Security Review

As this mechanism is still beta (I added the bolding here):

As a beta feature, Second-Generation Managed Packages is a preview and isn’t part of the “Services” under your master subscription agreement with Salesforce. Use this feature at your sole discretion, and make your purchase decisions only on the basis of generally available products and features. Salesforce doesn’t guarantee general availability of this feature within any particular time frame or at all, and we can discontinue it at any time. This feature is for evaluation purposes only, not for production use. It’s offered as is and isn’t supported, and Salesforce has no liability for any harm or damage arising out of or in connection with it. All restrictions, Salesforce reservation of rights, obligations concerning the Services, and terms for related Non-Salesforce Applications and Content apply equally to your use of this feature. You can provide feedback and suggestions for second-generation managed packages in the Packaging 2 Beta group in the Trailblazer Community.

my guess is that the Security Review process does not yet support it.

The future is here - the Winter '20 release will make Second Generation Managed Packages (2GP) publicly available and you'll be able to submit them for security reviews and publish on the AppExchange.