I think the best setting released for D&D, both in general and also in regard to scale and scope specifically, was the original release of Dark Sun. It covers an area that is quite big for the purpose of individual adventures and single specific campaigns, but much smaller than most D&D worlds, and being a desert, with a quite low density of sites.
It really is one setting with one thematic focus. Not eight settings stitched together so that parties can hypothetically travel between them. Which in practice doesn't really happen anyway, unless the GM specifically sets out to run a campaign that travels around the world. Which I haven't actually seen pulled off successfully anyway.
Dark Sun feels like it has found the maximum scale at which events hapening on one end of the map still actually impact things on the other end of the map. Raam and Balic are still believable as city states whose rulers keep track of what the other is doing, and which see the occasional merchants travel between them, carrying goods and news. I think much larger than that, and you'd lose that interconnectedness.