I think, in almost all cases user preference data may be stored in a cookie with (almost) equally good results as when the User Profile API is used. Disadvantages of using cookies (for authenticated users) seem to be that a cookie can be deleted or time-out, in which case the user preference data will be lost. For anonymous users, if the preferences data needs to be persisted across sessions then a cookie will have to be used even when User Profiles are used.
So what are some of the biggest advantages/disadvanges of using either User Profiles or cookies for storing user preferences?
Another disadvantage to holding all the preference data in cookies is that all of that data will have to be sent in every request from the client and in any response from the server whenever a change to the data is made. Whilst this may seem like a minor point in the age of broadband it is still an additional overhead. Using the Profiles API meands that the data is held at the server and only a session identification cookie needs to be sent by the browser.
Also, as you stated, for anonymous users if cookies are deleted then the user preferences held in the Profiles DB will no longer be accessible. However this will not be the case with registered users of your website. If they remove their cookies the server will still be able to retrieve their user preferences the next time they log in.