The importance of the setting lies in the way that the Tyrone family home is situated in a part of the country that is particularly prone to fog. Fog becomes an important symbol throughout the entire play that relates to the tragic inevitability of what is going to happen to the Tyrone family and also the desire of its members to ignore and delude themselves into not facing reality. In Act I, for example the fog has cleared and the bright sunshine is a pathetic fallacy reflecting the optimism of the various characters as they try to convince themselves that they have passed a difficult stage in their lives and that the future will be brighter.
However, note how in Act III, the fog has returned with avengeance, reflecting the growing inevitable sense of doom that lies on the Tyrone family. Note what Mary says about the fog and how she likes it, even though the fog's presence is announced by a fog horn whose sound rudely breaks in upon the family:
It hides you from the world and the world from you. You feel that everything has changed, and nothing is what it seemed to be. No once can find or touch you any more.
To Mary, the fog is so attractive precisely because it allows her to enter a state of mind where she can believe herself to be isolated and to avoid responsibilities that drag her back into the present. It is symbolic of the drug-like stupour which she is entering more and more as the play moves towards its climax. Edmund in another part of the play states his desire to melt into the fog so that he can become "a ghost belonging to the fog." The fog therefore symbolically represents the characters' desire to not face up to certain realities that they have been ignoring up until this point. This is why setting is so important in this play.