My Norwegian friend has kept hers as that. EU and EAA don't need to change their license as far as I know. She doesn't want to change it to a UK one because she doesn't know how long she wants to live here for. A friend of a friend from Turkey has to change theirs.
The only possible advantage that I can think of is with insurance. It could be cheaper if you have a UK driving licence, and claiming could be more complicated if the address on your driving licence doesn't match the address on your insurance policy.
If you are in the UK for the longhaul I would probably change it as it might not be valid after Brexit - just another of the great unknown questions! I am changing my licence as I don't want to be stuck with a non-EU licence and be forced to retake the test.