Settings are more important than most novice writers might realize. While the most basic idea behind a setting is the "where" of the story, one particular type of setting must usually be addressed in literary (and even non-literary) stories: cultural/historical settings.
Each story actually comes out of a culture. There are numerous other cultural influences on the setting of a story, regardless of the writer's ethnicity. For example, Amy Tan's The Joy Luck Club comes out of the Chinese/Chinese-American culture. All writers draw from their cultures. Understanding this cultural component of a story helps to flesh out the background against which the plot is happening.
Now add in the historical element, or the period of time in which these events occur, and you have a more full setting. An examination of Alice Walker's The Color Purple clearly illustrates this. It's not just enough to know that you are dealing with a Southern, rural African-American culture; you have to also factor in the time period in which the events of the story are happening.
And why is any of this important?
It boils down to one word: Verisimilitude (a fancy word for "ringing true").
So you wouldn't see Miss Sophia running for the office of president of the United States, given the cultural/historic setting of the story, nor would a reader be able to appreciate the magnitude of the piano as a symbol in Amy Tan's story "Two Kinds," unless the reader could appreciate the cultural/historical elements that shape the conflict of the story.
While it's easy to just write a story and have the reader assume the cultural/historical elements of your setting, it is better to drop in a few references. After all, good writing should survive your lifetime, and if you want people to understand what you were talking about in your work, you have to frame it properly.