The poem is about how a British gentleman should ideally behave in any setting, but several settings are suggested. We should keep in mind the poem was written in 1895, near the end of the reign of Queen Victoria, the high point of British power.

One setting is the gaming or gambling table. People would sometimes go to resorts to gamble and could easily lose large sums of money. Kipling says that even if you have put all your winnings on one number and lose it all, you should never lose your cool. You should never complain, Instead, you should act nonchalant, as if the money means nothing to you. Part of developing iron nerves means never showing your distress.

Another setting is when you are talking "with crowds" or common people. When doing so, a gentleman should never be anything but gracious. On the other hand, if you are speaking to a king, you should never be anything but down to earth.

Setting is only a backdrop to the perfect English gentleman, who is always, in our terms, chill, no matter what. He walks placidly through any danger and treats all people with courtesy.

There is not exactly a setting in the poem other than that of the father giving advice to the son.  In the poem itself, there is nothing to indicate when or where the poem is being written.

But if you think about Kipling's overall political views and the time when this poem was written, you can think about setting in a different way.

In that sense, the setting for the poem is a time when the British Empire is losing its grip on power.  Kipling is trying to advocate that people should go back to the kinds of values that, to him, made the Empire great.  These are the values he advises his son to hold on to in the poem.