While I agree with your thesis statement... "the DM should pick the campaign setting that the DM wants to run. Period."... there are definitely some DMs out there that do not "create" settings per se. They run their games and the setting "come out" of the games themselves. Matt Colville talks a lot about this-- he's run games where he basically has a starting town with a couple plot hooks and that's it. Anything else from the story to the history to the characters comes out of that starting experience.
And some DMs just like starting games from that sort of blank slate. So the idea that a DM could come into the start of a game with nothing, ask his players for their "opening" state of genre or setting or style, and then create everything from only that point... is not something that I would ever denigrate or run from. That's not how I personally enjoy running games as a DM, but I imagine for the DMs that tend to run many different games for many different lengths of time for many different groups... after a while if you've run certain campaign archetypes into the ground for yourself... having a more open canvas in which to start might be a nice change of pace.
Yes, that's often what I do. I do steal a lot of stuff from published settings and just general D&D lore accumulated over the last 25 years to make that happen, cobbling together the setting as it's needed and as inspiration strikes during play. I don't think one needs an entire world or even a large region to get going and I don't want to spend a lot of time preparing stuff I may not use.
Two campaigns ago, I created a town-to-dungeon campaign this way ("The Delve"). From the simple structure and adventure location I designed and from the input of the players as we played, we added more and more detail to the setting until it became a reasonably fleshed-out town with a history in a sketched out region. Since the players' ideas were incorporated into the setting, they were naturally invested in it.
When the campaign concluded and I began to ran a modified version of Red Hand of Doom, The Delve and its details were made part of the setting for RHoD. I later ran a 4e one-shot that was based on RHoD in the same region, but "in the future," so some of those details were added to the ongoing, now multi-generational tale. This all combined to create our own take on a Elsir Vale-like setting. I plan on revisiting this in our next campaign as I add bits of the
Nentir Vale to it and run some converted 4e adventures.
My current campaign remains an exception to what I normally do above. I tend to eschew published settings unless everyone at the table is familiar with it. But a unique opportunity presented itself that I couldn't turn down. With my current player pool, I had run a dungeon game and a plot-based, cross-country game. I invite the players have some say in what I run as it makes it a fun challenge for me (and it's instant buy-in from them), so it was decided I needed to run a city-based game, which I typically avoid. But nobody in my group really had any knowledge of Planescape and I figured I could run a Sigil-based game and play up the PCs as clueless Primes since the players had no knowledge of anything regarding the setting. So that's what we're doing now and it's going well. I hope to wrap this up at the 1-year mark in November and go back to the setting we've created together out of the previous two campaigns.