There's a great essay in the current issue of the Writer's Chronicle, "The World of the Story," by Eileen Pollack. Following are my favorite phrases that explain why setting is integral to a story and the many ways in which characters belong to and move between worlds.
"One of the greatest markers of who does or doesn't belong to a given world is speech."
"The same middle-school girls who delight in grossing each other out with a farting contest at a sleepover party might be horrified if they let out a burp at a co-ed dance."
"Setting will always be fundamental to fiction. What is childhood if not the world that determines who we are? What is family if not the world whose eccentric rituals, ways of speaking, eating, loving, and inflicting pain, create in each of us the most primal sense of belonging or separation?"
"But the idea that a story can be set in motion by bringing together lovers who have been shaped by different worlds will be obsolete only when every family on the planet comes to observe the same rituals and share the same values as every other, at which point fiction as we know it will have ceased to exist."