There is a sense in which the two settings two which Anna and Gurov belong are important because they express so much about their respective characters. Moscow is a place that is focused on sophisticated culture which is at the same time meaningless. Note the following quote as Gurov begins to feel dissatisfied with his life their:
What savage manners, what people! What wasted evenings, what tedious, empty days! Frantic card-playing, gluttony, drunkenness, perpetual talk always about the same thing.
The emptiness of life in Moscow, in spite of its sophistication, seems to capture the emptiness of Gurov's own life and his veneer of culture and sophistication.
In the same way, the provincial town where Anna lives is shown to be lacking in refinements and rather basic when compared to Moscow. This of course corresponds with Anna's character as she is rather naive and open with her emotions. She lacks the capacity to disemble and deceive in the same way that Gurov does. The distance between these two locations shows the distance that metaphorically lies between them in their relationship, and the difficulties they will have to bridge that gap.