Your original question actually asked two questions, so I have edited it down to one according to enotes regulations. Please remember that you are not allowed to ask multiple questions. Also, I was unsure of which "shady" character you were referring to in "A Rose for Emily," so I have decided to focus on comparing and contrasting the setting in these two excellent short stories.

The story of "A Good Man is Hard to Find" is based around a road trip that the protagonist, the grandmother, takes with her son and his family as the go on holiday. In particular, however, the most important setting of this short story occurs when they come across the Misfit on the dirt road to where, supposedly, the gradmother's old house lies. Note how this location is described:

They turned onto the dirt road and the car raced roughly along in a swirl of pink dust. The grandmother recalled the times when there were no paved roads and thirty miles was a day's journey. The dirt road was hilly and there were sudden washes in it and sharp curves on dangerous embankments. All at once they would be on a hill, looking down over the blue tops of trees for miles around, then the next minute, they would be in a red depression with the dust-coated trees looking down on them.

Note how this setting emphasises the danger that is about to fall on the family. References to "sharp curves" and "dangerous embankments" forshadow the accident they are about to have and also the arrival of the Misfit, which will also herald their own deaths. The last sentence presents the landscape as changeable and threatening, with the personification of the "dust-coated trees looking down on them."

The setting in "A Rose for Emily" could not be more different. Whereas "A Good Man is Hard to Find" presents us with a constantly shifting location, "A Rose for Emily" takes place in one location: Jefferson, Mississipi. The action only focuses on the town and its inhabitants. However, what is worthy of comment is Miss Emily's house, and how its decay mirrors the decay and stagnation in the central character. Consider how the house is described in the first section of this great short story when the Aldermen call on Miss Emily:

They were admitted by the old Negro into a dim hall from which a stairway mounted into still more shadow. It smelled of dust and disuse--a close, dank smell. The Negro led them into the parlour. It was furnished in heavy, leather-covered furniture. When the Negro opened the blinds of one window they could see that the leather was cracked; and when they sat down, a faint dust rose sluggishly about their thighs spinning with slow motes in the single sun-ray. On a tarnished gilt easel before the fireplace stood a crayon portrait of Miss Emily's father.

Whereas the setting in "A Good Man is Hard to Find" provokes fear and foreshadows the death of the characters, the house of Miss Emily identifies how closely the character and her home are linked. Both characters are shown to be anachronistic, decaying and, in some ways, already dead. Miss Emily has withdrawn from life in its entirety, and thus her house shows all the signs of decay and dilapidation. Note the reference to the darkness and the "dust and disuse." The cracked leather furniture and the dust clearly presents Miss Emily's house as a house to which death has already arrived.

So, these two short stories have very different settings. Yet both manage to convey a Gothic sense of death and darkness, but in different ways.

How would the theme of "A Good Man is Hard To Find" compare to the theme of William Faulkner's "A Rose for Emily"?

There are several similarities between the stories.  They are set in the south, deal with some shady characters and murder, have threads of Old Southern classes and lifestyle throughout, have a strange, eccentric old lady as the main character, and end badly.

The themes are more difficult to compare.  You see a theme of prejudiceness, cruelty, and characters who miss out on love because of their own eccentricities. In "A Rose For Emily", you have a lady who is driven to murder in order to possess love forever.  In O'Connor's story, the grandmother is rather selfish and whiny, and willing to put other people's lives at risk to save her own.  So both ladies possess a closed and selfish perspective of the world, that lead to harm for other people.

It's an interesting question, and I hope this helps a bit.