When I first got into role playing the group of gamers I played with each ran a different game with a different system. Over the years we tended toward playing more different systems and different games. I never really got into playing one game to the exclusion of others. For me, every game I played was a new system.
This has influenced by attitudes now as I am writing games - why wouldn't every game have it's own system? It's what I played. I like learning new systems, and I like the way that new systems play with the story experience around the table - allowing or encouraging different things.
A new setting feels like it almost demands a new system - the system is the architecture through which we, as players/GMs, experience the world and get to tell stories within it. The system gives wings to the setting, defines and describes it by what it allows and what it pushes the players and GM to do at the table. Those are the drivers and advantages in my view. The challenges sit around getting the system to engender the sort of play you want the game/setting to exemplify, and balance, balance is the other challenge! :D