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I presume you're asking how setting and staging relate to the theme of a play? Generally, the setting and/or stage directions of a play serve to prepare the audience for the author's thematic elements.
Take a play such as The Glass Menagerie, in which the rather depressing setting never changes--a perfect compliment to the theme of a predictably unchanging future based on an unchanging and predictable past (until the closing moments of the play, anyway). The general setting matters a lot, but the specifics don't; that's why this particular play can be produced with a ladder and a few chairs. It's the sameness which matters. Staging, in this play, includes musical cues to be played for each character in specific circumstances. We hear the music and we have an enhanced sense of each character and the primary themes of the play.
In The Crucible (which is set in the late 1600s in Salem, Massachusetts, at the height of the witch trials), the physical structures aren't nearly as important as the atmosphere of doubt, suspicion, and accusation in which the story occurs. The theme is enhanced (even created) by the setting (time, place, and mood).
The same should be true for all effective literary works, movies, or plays--the setting should serve to direct the audience to the theme(s). If it's a deserted island, think isolation or perseverance for a theme. If it's a war setting, think survival or conscience. These are generalities, to be sure, but literature often uses such generalities (conventions) to set the stage for more complex themes.
Think about what it would be like to watch a play (or read a book or watch a movie) set in a mansion with a theme of coping with being poor. It would be so disconcerting that the theme would undoubtedly be unbelievable--and probably lost altogether.
The setting and staging of any effective production should feel intimately connected to the theme(s).
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