Setting can be understood in multiple senses: it can mean an e tire world, or it can be a smaller area that is gameable. Princes of the Apocalyhas a lot of Dungeons, but it also details a region the size of the state of Oregon.
Waterdeep: Dragon Heist has a lot of dungeons, they use up the while alphabet for keys (many if the Dungeons have multiple keys!), but there is also a very large gazateer detailing the city.
WotC determined that their target market for these books are people who want dungeons loosely connected, with sandbox areas (Tyranny of Dragons is the exception, being just about the only book without a sandbox region detailed).