The Windows _setmbcp function allows any valid code page...
(except UTF-7 and UTF-8, which are not supported)
OK, not supporting UTF-7 makes sense: Characters have non-unique representations and that introduces complexity and security risks.
But why not UTF-8?
As I understand it, the "ANSI" versions of the Windows API functions convert their arguments to UTF-16, call the equivalent "W" function, and convert any strings in the output to "ANSI". This is what I've been doing manually. So why can't Windows do it for me?
The "ANSI" codepage is basically legacy: Windows 9X era. All modern software should be Unicode (that is, UTF-16) based anyway.
Basically, when the Ansi code page stuff was originally designed, UTF-8 wasn't even invented and so support for multi-byte encodings was rather haphazard (i.e. most Ansi code pages are single byte, with the exception of some East Asian code pages which are one-or-two byte). Adding support for "proper" multi-byte encodings was probably deemed not worth the effort when all new development should be done in UTF-16 anyway.