Almost certain, AL32UTF8 is an unicode characterset. All char/varchar2/... columns can now store unicode characters. You can consider them nchar/nvarchar... by now.
WE8ISO8859P1 is non-unicode.
Because not all characters from AL32UTF8 can be represented in sqlserver varchar columns, the warning/error is thrown.
NLS_CHARACTERSET can't be changed after the oracledatabase is created.