How and why does the main character change when he is in the catacombs?
Your question asked about settings. I assume you're referring to the difference between how Montressor talks and acts toward Fortunato when luring him to the catacombs and how he talks and acts once he has him there. Those are really the only two settings in this story, and the reason for the change is clear, I think.
At the Carnival, Montressor is kind and considerate to Fortunato in his attempt to disguise the passion for revenge burning in his soul. Montressor plays on his perceived enemy's pride and is solicitous about Fortunato's health and well being, even offering an arm and a little wine--until they actually reach their final destination.
Once they reach the wall, things change. Montressor is on edge and impatient to carry out his plan for revenge. After he chains Fortunato to the wall, he begins to wall his victim in, almost violently. He is smug and self-satisfied rather than deferential, and he even pauses to sit and enjoy his evil handiwork.
Once Fortunato sobers up a bit and begins to fight back, Montressor is driven into a fury, of sorts. When Fortunato screams, Montressor "replied to the yells of him who clamoured. I re-echoed, I aided, I surpassed them in volume and in strength." He stabs his rapier into the recess like a crazy man (go figure) and seems to completely lose his cool.
These two facets of Montressor's personality--kind of servile and obsequious when above ground and violent and aggressive below ground--show themselves in the two settings of this story.
Montressor changes in the catacombs as he begins to enact his plan. When he and Fortunado first enter the catacombs, Montressor is joking around and very light-hearted. He gets Fortunado drunk. As they finally reach the place where Montressor is to bury Fortunado, he becomes very dark as he chains up Fortunado and listens to him scream. In the end, he is ruthless, cold, and calculating.