A few things don't add up - but this is all speculation. First, yes, why were the windows not down. If I was doing a "rescue" operation, I'd want the window open to talk to the people in the truck. Second, if he was trying to winch, why wasn't he behind the steering wheel, or his girlfriend behind the wheel assisting. Third, if there was another truck there to rush them to the nearby fire station, why weren't they using it to snatch the Jeep out.
The newscasters though - and if I am completely wrong since I don't own a winch and may not have all the protocol down cold, please correct me - why would they suggest that he turn off the Jeep. If he's trying to winch it out, you want in running to help power out. I guess at the very least they would want the Jeep turned "off" but on accessory so that the Jeep can be in neutral and the wheels can free spin. If he was just sunk with no hope of extraction, yes shut it off. During active winching though, I'd have kept it running also.
It is a tragic accident - but it is also an opportunity for us to dissect the situation and imagine the possible scenarios so that we can better prepare ourselves for situations that we might encounter that are similar to this one.
Any lastly - most of the commenters on the story are completely ignorant!!!