As the men on the boat are talking about the island around them, they call it 'ship-trap island'. It seems there is superstition about it similar to how people talk about the Bermuda Triangle. Things just seem to somehow disappear in that area. I believe the location or setting of this story could be allusive to that location.
It also seem that an area so thickly vegetated would make it difficult for a larger game (like a human) to not leave much of a trace. For the most part, the story paints Rainsford as a very evasive prey. Leaves, branches and ground would be easily disturbed by a human no matter how awkwardly and slowly the human had to move as if not to disturb anything.
Socially, it just seems strange that a Russian of that period would head to an island in the Carribbean.
Physically, the setting is some island in the Caribbean. Socially, I guess you would say the setting is Western Civilization in the early 1920s.
What makes the setting implausible, to me, is the idea that such an island could exist. I find it completely implausible to think that, in the 1920s, there could have been an island in such a civilized area where a man would be able to do what Zaroff was doing. I think that if the story had been set maybe somewhere in the South Seas it would have been more plausible.