The setting is the time and place of the action of a story. This narrative poem has a distinct setting.
The poem establishes part of the setting in the first lines.
It was many and many a year ago,
In a kingdom by the sea (lines 1-2)
The speaker establishes that this happened long before the poem was written, which would be likely the early 19th century, since the poem was written in 1849. Establishing the setting thus shows that Annabel Lee has been dead some time, but the pain is still real to the speaker. The second line establishes that the couple lived near the sea somewhere, likely on the east coast of America given the autobiographical nature of the work when Poe’s wife Virginia died.
At this time, medical technology was not as advanced. Note the cause of Annabel’s death.
A wind blew out of a cloud, chilling
My beautiful Annabel Lee; (lines 15-16)
In modern times, people still die of pneumonia and the like, but it is less likely because we have more advanced medicince.