Leakage current can dominate your design, and switching regulators often have lousy leakage current specs (to be fair, so do a lot of old school linear regulators). Furthermore, switching regulators often have to "spin up" while a linear regulator is just sitting there ready to go as soon as your MCU switches on.
In addition, switching regulators tend to be designed for higher currents and tend to have terrible efficiency at small currents (< 1mA). If your circuit uses a very small amount of current even when active, a linear regulator may be superior even for constant-on systems.