jdrakeh
Front Range Warlock
Faery's Tale has a setting, but it really isn't very developed. See, Faery's Tale is for kids. So while there's a default setting that contains some basic elements (faery nobility, evil faeries and goblins, rules for conflict between the two, plus a fairy tale -esque human civilization set in a mixture of victorian england and medieval england), it isn't heavily developed. The idea is that you'll create your own stories within it, rather than read stories from it.
So is the material thin enough to disqualify it as a setting? How many pages of the game are dedicated to the setting? IMHO, if it's less than five, it's more of an implied setting than an actual, existant, setting.