-Everything has setting. Clarify?
Everything has setting, yes. Not everything uses setting well. A well-crafted setting can turn a mediocre story into a work of genius (see: Francine Prose's Guided Tours of Hell, and on the opposite end of the spectrum, Jerzy Kosinski's Steps, which makes use of a setting that only comes up in between the lines but is a book that would not work with a less subtle setting). Some RPGs do not do this; the setting is just a means to get you from point A to point B. But those are few, thinking on it; most RPGs actually create a good setting. Fallout does this. PS:Torment does this. FFT does this quite well, since the history of the world is well documented and plays a large part in the story. The Suikoden series, as a whole, does it fairly well, too. The setting, often, doesn't even have to relate to the plot to have a good setting. DQ8, for example, had such a well done world map that I considered filling out the bestiary so I could get the no encounter accessory and just wander around in it, for instance.
For the most part, setting is almost always the most well done part of the game. I was thinking of examples that don't create a good, or at the bare minimum, interesting setting. I could only come up with Lufia1-2, BoF1, WA1 (mostly because the setting is there but not utilised at all), and a handful of NES games. This is one of the few things the genre does well. Even dreg games like Fire Emblem and Phantasy Star often have interesting settings.
The reason why this rarely comes up in discussion of RPGs, though? Well, it largely gets ignored because it is easy to ignore it. If you're not thinking about its merits in relation to more "literary" mediums, then in all likelyhood you see it just as how some games treat it: as a means to get through the story. But really, this is probably where the genre shines.
Though, thinking on it it is probably a videogame thing more than an RPG thing. The story-heavy non-RPGs I like often have very well crafted settings.
I agree with the rest, however; RPGs never have their AV cues and gameplay relations to plot discussed because they are never utilised well, and optional content is very rarely utilised well. This never gets discussed because it's usually not worth mentioning.
