Well, this is still taking place well before Theros is in people's hands, and at least Perkins game at the event is going to be set in Theros...so that maaaay be what is meant....
The "new setting" revealed cannot be Theros, because anyone with a D&D Beyond account can use that setting as of June 2nd. The hardcover may still be to come in July due to COVID-19, but it can hardly be called a "new setting" that we'll "learn all about."
I'm pretty sure the announcement is for an adventure in a new setting, not an adventure and a new setting.
We have already got two setting books this year, I would consider a third incredibly unlikely.
"Fans of D&D will learn all about the new setting and storyline as well as accompanying new products plus tons of unique gameplay available on June 18, 2020."
The language is very unclear. That said, in 2018 and 2019, WotC switched to releasing 4 new D&D books a year, rather than the 3 new books of 2015, 2016, and 2017 (not counting starter sets or remasters like the Core Rules box set or Tyranny of Dragons).
We know what 2 of those new books are for 2020, Wildemount and Theros. WotC suggested that fans desiring new setting books would love 2020, so I think there's good latitude to believe that this stream is going to announce two separate products.
That said, COVID-19 could have derailed plans for 4 new hardcover products this year, so maybe Icewind Dale is what they're referring to. I'd just argue that the language is vague and could be interpreted either way.
I also think calling Icewind Dale a setting is like calling Harkenwold a Setting. Yeah, sure, you can go in deeper on this glossed over area of the Nentir Vale, but the Nentir Vale already is a subset of the former Nerath Empire setting, which is a subset of the Conquest of Nerath campaign world, and was designed as such to be just the basic details so that you could make it your own. Icewind Dale is a subset of the Sword Coast, which is a subset of Faerûn, which is a subset of Abeir-Toril, similarly… It's a deep dive on one particular place. A cool place, but much more appropriate for an included gazateer in an adventure path, like how Descent into Avernus gives us the deets on Baldur's Gate, and Dragon Heist gives us the deets on Waterdeep.
Legit question to anyone with a better memory than me: did WotC ever call Chuult a "new setting" when discussing Tomb of Annihilation?