The Windows _setmbcp function allows any valid code page...
(except UTF-7 and UTF-8, which are not supported)
OK, not supporting UTF
Michael Kaplan, an internationalization expert from Microsoft, tried to answer this on his blog.
Basically his explanation is that even though the "ANSI" versions of Windows API functions are meant to handle different code pages, historically there was an implicit expectation that character encodings would require at most two bytes per code point. UTF-8 doesn't meet that expectation, and changing all of those functions now would require a massive amount of testing.