The advantage to heavy fins versus ankle weights, imo, is that your fin is very unlikely to fall off....whereas an ankle weight could fall off (at least the ones I've seen that have the little plastic clip) and make for an uncomfortable dive.
That said, I've never had any light feet issues that I haven't been able to fix with some minor trim adjustments....so I'm really unable to relate to people who do have that problem (and some people I've come to respect as divers have said that they like diving with ankle weights because it make everything more comfortable....if that works for them, fine with me).