my-widget-plugin | My Widget Plugin - Full code from the WPExplorer | Content Management System library

A strategy pattern is by definition a run-time algorithm. On the otherhand, Preprocessor features are compile-time. This means, they're resolved while you compile, and after compilation, they don't exist anymore. I'm not sure you're aware of that, but I'd say you are. So your question reduces to: Why would I need preprocessor features at compile-time?

Well, beside the obvious diversity justification, consider a situation where your strategy pattern involves two different libraries. Now, if you use a preprocessor command, you don't have to link to the branch that your program doesn't need. If you use a strategy pattern, you have to link everything! Linking to stuff you don't need is just bad-style. It might also be not viable for various reasons (as mentioned by Sebastian in the comments, due to platform or license or other limitations).