There is an interesting aspect of rpg design which I've only recently begun to contemplate: the connection between setting and mechanics. You'll notice that many games keep the mechanics and the setting separate. These games sell themselves on their generic qualities. GURPS is the most extreme version of these sorts of games. Sure, in these types of games if it is a fantasy game there might be rules for magic or whatever, but the magic rules are often rather vanilla giving no particular flavor or uniqueness to the setting. It could be any standard fantasy world. There are advantages to this approach as many players and GMs do NOT want the setting that the game has supplied to them. They'd prefer to make up their own setting. I must confess this has almost always been my feeling about games. I was much more interested in what I had in my head than what the game's author was trying to get across to me.
This feeling so predominates in the rpg field that it is a real consideration whether to include a default setting in your game or not. Many of my favorite games do not include a baked in setting. There are exceptions: Pendragon, Empire of the Petal Throne, Talislanta, Warhammer Fantasy Roleplay all contain very definite settings that I'd be more than reluctant to lose. Removing the setting from these games would lead me to ask the question: what is the point now? The setting in those games, for me anyway, IS the whole point. This isn't to say you shouldn't imaginatively own the setting and make it yours--that is, in my opinion, absolutely essential for satisfying play to happen. My Arthurian Britain is not going not look like yours. My Tekumel is not going to be Prof. Barker's Tekumel. That's as it should be with a good rpg setting. The designer has, hopefully, left plenty of white space for you to fill in. When companies tried to more tightly control their campaign worlds, we saw the late eighties and nineties explosion of books with the setting "metaplot." To get the "real" setting required that you also purchase the latest product. Both the indie gaming scene and the OSR have eschewed this approach, as they rightly saw that these sorts of practices were both an unsustainable business model and actually toxic to the health of the RPG hobby itself.
I think many different approaches can work when you're dealing with setting. The question is really: what is your ultimate design goal here? The setting might be deep and exceedingly detailed or it might have just a light touch--where the game approaches being generic, but it doesn't really go all the way.
Do you like when games provide setting, or do you like to make it up yourself? Or are you somewhere between? Or does it depend on the game you're playing?