4th edition does have a setting, Points of Light, but the problem is nobody understand and/or likes it as much as something more...well designed.
All the angst towards Forgotten Realms, it had a large following.
Now sure what the setting of 3rd was, but previously Greyhawk pretty much worked for D&D as the main setting becaue it was based on Earth (Oerth) where we ourselves live and could accept the world that is human-centric with fantastic elements.
I really don't understand PoL, but it has no real focus. It tries to be all encompassing but at the same time offers nothing to explain itself. How can one related to that when you don't even know what it is.
4th edition's setting is like a plate of crackers, where just a few more ingredients you could have a cake instead.
It is there, just it is a generic and flavorless as can be so that all the elements of 4th edition could fit. The only real place you notice it is up front with dragonborn and tielfling as playable races while gnomes were a monster. But doesn't explain why these beasts are accept int he world and you now have a big nosed yellow kobold to fit.
Going back the the cracker and PoL, most of 4th edition is just as flavorless as they are.
It has simple concept to play as a gaming, but beyond the game, there is not much offered to new players to help them tell a story due to its lack of flavor in many forms.
So it strove to capture new gamers, but left out anything, as you feel a setting but I say flavor (mostly the same), to really inspire new players.
There is a lot of good stuff and ideas in it, but it isn't what many look for in an RPG, as they may have heard about RPGs from the past.