Since you say this is an older system, is the thermostat loop low voltage (eg 24V) or high voltage?
A mercury thermostat will work with either.
Most modern thermostats are designed for low voltage, controlling a relay which switches the high voltage.
Since mercury is a persistent environmental toxin, and since most systems here in the states use low voltage control, many municipalities actively recommend replacing mercury thermostats with modern ones and delivering the mercury unit to a hazardous waste site for safe disposal.
Modern thermostats are more accurate, can be set more precisely, can often be programmed to adjust temperature based on time of day, and in the fanciest versions can be operated remotely and/or integrated into a smart home system to do things like lowering the temperature automatically when the space is unoccupied. Depending on the model, they do require batteries, or need to have power supplied to them in other ways; again, details and installation complexity vary from model to model.
If what you have is doing everything you needed it to do, and you don't have to worry about kids or clumsy adults managing to break the mercury capsule, I would say you can leave it alone for now if that's your preference. Personally I would replace it just to make sure that the mercury is handled properly, and I do like the additional features of programmable thermostats, so I would replace it.