While I agree with Mallear, as a wargame designer and reviewer I would say that for serious wargames the setting is extremely important, actually it is the setting that determines the mechanics. I have panned several games in my blog or Battles magazine for that sin. And in the original version of World at War from LnL, that I created several scenarios for, I had plenty of discussions with the original designer, Mark Walker on the awful setting (he lost me when he had vampires... and he is a Naval War college graduate!). I also remember some heated discussion on CSW on Red Tide West with the designer making some weird assumptions on NATO (like the Denmark was neutral... or that the Warsaw Pact Allies would not have done anything in a war...) or claiming his OoB was ultra accurate and then discovering giant errors... like a whole missing US division... the 3rd Mech none the less! Or Compass Fulda Gap where the designer made a lot of mistakes, and then tried to concoct a an alternate history to claim they were not mistakes but design decisions...Please remember this isn't a war or board game where setting is easily ignored in favor of the mechanics but a ROLEPLAYING game and the setting in an rpg is pretty damn important for giving the gm a necessary background to paint his canvas with.
You end up loving the gaming world...