"Empathy" is a very slippery term because it's a feeling and not an action. Altruism is generally a better measure because you can actually measure it somewhat objectively. "Empathy" or "Pro-Social" studies are all over the map in their conclusions with respect to how income and status effects it, I think in large part because what counts as "empathy" or "pro-social" heavily varies according to the constructor of the scenario or test.
cf:
Higher income individuals are more generous when local economic inequality is high - PMC
Empathy is the ability to perceive and understand the feelings of others. Empathic-altruism is the act of helping others because you understand that they're suffering. Empathy is correlated with pro-social behaviors because one part of that is understanding how others are affected by what you do.
Charitable giving is an entirely different thing, and may be more motivated by pity/sympathy (which is not quite the same thing).
A setting high in empathy suggests a place where people strive to understand each other, something which is often easier when you share relative backgrounds ime. Probably also scores high on community, working together, etc.
If you have to tighten your belt a little to help a neighbor, you will. If you have to starve to prevent a neighbor from starving, well…sorry neighbor.
And yet we have stories like the Choctaw, a tribe that had recently been on the edge of starvation and was still struggling to make ends meet sending money to the starving Irish in recognition of their suffering. We have plenty of stories both current and in fable of people giving the shirts of their backs, or splitting their limited food.
Humans are complicated. Your fantasy setting may not track human interactions directly, and your fantasy cultures and species may have different expressions of what empathy/caring/interactions demand.
What I think defines Hope vs Despair for the purposes of this thread is more about the ability to affect change. Dark Souls is a setting of Despair because ya ain't realy making things better due to the weird metaphysics of that land. Blades in the Dark is a setting of despair, because you're not going to (at least within the confines of the base game) really change the political and power dynamics of the Empire.
Eriador of the space between the Hobbit and Lord of the Rings walks the line, I think, depending on what you focus on - but it's at least a land of melancholy.