hmm, the argument that I've heard for a Unix or Unix-like system is that as an apache module, PHP would run with Apache's privileges.
If Apache has root privileges, as can often be the case, PHP would also have root privileges, which would then pose a security problem due to increased likelihood of privilege escalation by exploiting PHP.
I suppose this can be extended to Windows and IIS, where one might look at the Administrator privileges instead.
I think you can look up the PHP manual on security, in particular installing PHP as a CGI binary versus installing as an Apache module.