Like most things. There are advantages and disadvatages to both. windows-1252 is a single byte encoding meaning each character at most can use a single byte of memory. UTF-8 is multibyte so when you go out of the normal 255 byte range, a single character will start using more space. This also makes it harder to process since you must use unicode compatible functions (the defaults in PHP for example are not for use with unicode - unless you override them with the mb functions in the php.ini but that's for another time).
The main reason to use UTF-8 is to support different languages (like french, german, chinese, etc).
UTF-8 is the recommended standard because it allows regular single byte encodings for the regular ascii english characters giving it good backward compatibility while extending it with multibyte groups of characters for different languages.
Depending on how the sites are coded on the backend often determines how easy is it so upgrade from a single byte to multibyte encodings like UTF-8. Maybe that's why this site hasn't upgraded?
Personally, on my site Coder Profile i allow UTF-8 as the encoding since that's what text editors like MSWord tend to paste into the pages regardless of the defined charset. Using UTF-8 allows the characters to display as expected. HOWEVER, since i allow source codes to be pasted i do not want the UTF-8 quotes and few others which tends to be the 66 and 99 style quotes since the syntax highlighter won't support them. So i tend to map a few characters to lower equivalents. The whole string is then converted from UTF-8 back down to latin-1 to prevent having to retest and change code in the PHP environment for UTF-8 support and since i first started coding the site years ago before utf-8 was popular this was must better to do in this case. However, i do encode to html entities and in doing so, the upper range of characters in latin-1 are never used. This means i can switch to UTF-8 quite easily without messing up any of the existing data should i decide to do change to UTF-8 in the future ;)