The importance of the setting in The April Witch is that it creates a contrast to show that Cecy, though inhabits inside the body of a farmgirl and appreciates every single element of nature, has to live in Illinois.
Now she inhabited neat crickets on the tar-pool roads, now prickled in dew on an iron gate. Hers was an adapt-ably quick mind flowing unseen upon Illinois winds on this one evening of her life when she was just seventeen.
This form of description repeats throughout the story and characterizes the same activity that occurs in the country but explaining how it happens in the city. Hence the importance is not only to create contrast but also to experience Cecy's own emotions towards one place and another.
An example would be:
"..... as a moon the colour of milk rose over Illinois country, turning rivers to cream and roads to platinum".