I think that the setting to any drama is important as it allows the reader to understand the beginning of action, and use it as a benchmark to where note from where drama begins.  Good writers will use setting to help illuminate much of what grips the protagonists, as the setting is a part of the characters' worlds.  For example, Lorraine Hansberry in A Raisin in the Sun uses the setting of the crowded apartment to bring out the condition of her characters.  As the reader/ audience is introduced to the characters, the setting of the apartment and where the family lives on the South Side of Chicago is incredibly important in understanding the condition of the family and the problems it presents.  Shakespeare uses aspects of setting quite vividly in a play like Macbeth.  The setting of weather conditions helps to bring out the ethical and psychological condition of the drama.  The storm to open the drama represents a theory of correspondence, whereby meteorological elements help to represent the emotional state of Macbeth and that which surrounds him.  Setting is essential in helping to establish the exposition of drama and to help allow the reader/ audience to understand the conditions that confront characters in drama.