To give an example: A friend of mine once used GURPS supplements and research to build a campaign around modern day characters investigating weird mystic happenings in and around Afghanistan, that built on real world mythology and archaeology. Unfortunately, he finished putting things together during the summer of 2001, and as you may remember events unfurled in September of that year that led to Afghanistan going from a somewhat obscure region of the world to front-page news. With the US invasion of Afghanistan the tone of any adventures in the region would change, and if he set the game in a different year or alt history it would still have had an extremely different feeling since it would be 'look for mystical happenings in the Taliban Zone' to Americans rather than 'look for mystical happenings in this unfamiliar place with a rich and complicated history'.
The real world events wouldn't affect a fantasy campaign based around history from the region the same way, since the locations, names, and personalities would be be based on the real world but not directly copied, and obviously current events wouldn't be taking place.