1) Speed and resources. Pegasus is way, way faster than Outlook or Outlook express, and uses many fewer resources. You can leave it running all the time without a big performance hit. Not so with Outlook.
2) Security. Doesn't hide attachment extensions, or run attachments automatically by default.
3) Portability. Easy to move your folders around with you if you want. Have fun finding all your Outlook settings and stuff.
4) Far less hard drive space used.
5) Having a little flying horse flapping its wings in the system tray when you get mail is kind of nice.
I did find however that a lot of his mail comes back when he's mailing home, it wouldn't accept .exe's, probably just a setting to change