The setting is a tumultuous storm that comes in suddenly and takes over the small house, then disappears as quickly as it came, leaving a sunshine-filled day in its stead. This reinforces the plot because M'sieur Alcee also comes into the story like a storm, awakening stormy emotions and passions within Calixta, and their affair is a tumultuous and brief episode in her life, before things return back to normal. Afterwards, she is happy and carefree, laughing and kind, just like the cleared storm leaves sunshine in its path.
The bedroom is another element of setting that reinforces the plot; "The door stood open, and the room with its white, monumental bed, its closed shutters, looked dim and mysterious". Chopin's mentioning of the bedroom is not accidental, it is a foreshadowing of the coming affair, and, the mention of mystery alludes to the wondering of what being together would be like. That mystery is soon answered, and she becomes "a revelation in that dim, mysterious chamber". So, what was a mystery is now a revelation.
Those are a couple elements of setting that reinforce the plot.