Remathilis
Legend
The answer, of course, is always "No, you don't HAVE to do anything you don't want." (except die and pay taxes).
That said, I've introduced a lot of new players to D&D over the years and used some very different settings to do it, and I find the bland "default" model has a few advantages over the more esoteric settings. Here's why.
The Player's Handbook gives some good examples, advice, and art that can help a new player create his character. In a core game, I can point to dragonborn, elves, and warlocks and say "that's how it is". If you change that, you have to either tell them "read this, and then change these things (which is confusing for even some veteran players) or you're going to have to write up your own descriptions, which begins the process of invalidating the PHB. (And if any one of the 20 buy the book, the last thing they'll want is find their $50 book is invalid).
Furthermore, if you are going to change settings, keep everything else constant. If you do an Arabian Nights setting, still make it have elves, dwarves, halflings, clerics, rogues, and wizards. This isn't the time to introduce new races, radically re-work classes, or change the spell system to spell points, no matter how much it fits your concept of Shi'ar. If possible, keep most of tropes from classic D&D there, just wallpaper over them where needed.
So you CAN do it, but you are adding another level of complexity to an already fairly complex game. Not only will players need to remember what the book says, but they will need to remember where you changed things as well. Consider preparing a cheat sheet if your going to make departures from the PHB; if you changed weapon names (or don't have certain types; like plate), if elves have differences (they live in Oasis's and are Xenophobic. Also, there are no wood elves or dark elves) or if things aren't allowed (no monks). Try to limit the latter however.
So it can work (I intro'd a new group in Eberron, and that did deviate a LOT from the PHB) but you are adding additional complexity to the game by doing so. As long as you and your players are fine with that, be my guest. I still wouldn't deviate too far (for example, avoid Dark Sun, a setting so different it deserves its own PHB) but otherwise, have fun.
tl;dr verison
1.) Core is simplest because it doesn't require the players to change what is in the PHB
2.) If you don't do core, limit your changes to mostly cosmetic changes
3.) Avoid adding homebrew races, classes, or house rules, even if they fit the setting
4.) Make sure everyone knows where you are deviating from the PHB and why.
That said, I've introduced a lot of new players to D&D over the years and used some very different settings to do it, and I find the bland "default" model has a few advantages over the more esoteric settings. Here's why.
The Player's Handbook gives some good examples, advice, and art that can help a new player create his character. In a core game, I can point to dragonborn, elves, and warlocks and say "that's how it is". If you change that, you have to either tell them "read this, and then change these things (which is confusing for even some veteran players) or you're going to have to write up your own descriptions, which begins the process of invalidating the PHB. (And if any one of the 20 buy the book, the last thing they'll want is find their $50 book is invalid).
Furthermore, if you are going to change settings, keep everything else constant. If you do an Arabian Nights setting, still make it have elves, dwarves, halflings, clerics, rogues, and wizards. This isn't the time to introduce new races, radically re-work classes, or change the spell system to spell points, no matter how much it fits your concept of Shi'ar. If possible, keep most of tropes from classic D&D there, just wallpaper over them where needed.
So you CAN do it, but you are adding another level of complexity to an already fairly complex game. Not only will players need to remember what the book says, but they will need to remember where you changed things as well. Consider preparing a cheat sheet if your going to make departures from the PHB; if you changed weapon names (or don't have certain types; like plate), if elves have differences (they live in Oasis's and are Xenophobic. Also, there are no wood elves or dark elves) or if things aren't allowed (no monks). Try to limit the latter however.
So it can work (I intro'd a new group in Eberron, and that did deviate a LOT from the PHB) but you are adding additional complexity to the game by doing so. As long as you and your players are fine with that, be my guest. I still wouldn't deviate too far (for example, avoid Dark Sun, a setting so different it deserves its own PHB) but otherwise, have fun.
tl;dr verison
1.) Core is simplest because it doesn't require the players to change what is in the PHB
2.) If you don't do core, limit your changes to mostly cosmetic changes
3.) Avoid adding homebrew races, classes, or house rules, even if they fit the setting
4.) Make sure everyone knows where you are deviating from the PHB and why.