Settings and adventures are considered two different categories. But I dont see salient difference between them. For example the Forgotten Realms setting is a book of player options (crunch) plus a book of adventures.
Essentially, an "adventure" is a local setting. A setting may or may not add new player options.
World settings: Oerth, Toril, Eberron, Athas, Astral Sea ...
Regional settings: West Faerun, Kara-Tur, Theros, Outlands ...
Local settings: Blackmoor, Greyhawk, Balders Gate, Menzoberranzan, Phandelver, Sigil, Strixhaven, ...