The setting connects to the conflict between the poor Black children in the story and white society by highlighting the grotesque inequalities of income that exist in the United States.
The luxurious toy store that Sylvia and the other children visit is symbolic of racial and economic equality in the United States. It serves to highlight the huge gaps that exist between Black and white, rich and poor, and which make life hard for millions of people.
The children's trip to the toy store may have given them a brief glimpse of life outside their neighborhood, but at the same time, it also opens their eyes to the gross equalities that exist in American society and which confine them to the slums.
In that sense, the setting of the story, a store full of expensive toys that the children could never afford, acts as a reminder to Sylvia and the other children that they live in a society where money is everything—and that those who don't have it, especially those who happen not to be white, are treated as if they don't belong.