Often in plays, the setting is not just "where the story happens," but includes the geographical, historical, social, economic, or philosophical...

At the beginning of Othello, it is clear that the setting in Venice, Italy is one that is framed by the citizens' ideas about race and identity.  Othello is posed as an outsider among a city full of whites.  Brabantio is made aware of his daughter Desdemona's relationship with Othello, and even though Brabantio honors Othello as the general of the Navy, he cannot bear to think of his daughter in a romantic relationship with Othello.  Roderigo calls Othello lascivious, and Brabantio plays right into Roderigo's and Iago's plot, imagining his daughter in the arms of Othello, a beast.  Brabantio is so easily swayed because the social context of Venice at the time the play is set allows for racial discrimination, and Iago knows that this context will set the backdrop for his manipulation of Othello.  So, the social context of the play is crucial to the development of plot, character, and theme.