You have a lot of RPGs, so let me add some more.
Geneforge and Avernum have interesting settings. Geneforge especially. Geneforge is a setting where human beings have figured out genetic magic, and all the horrors it entails, so there’s a very oppressive mageocracy that exists to prevent biosphere ending catastrophes. If you can get past the graphics, it stays interesting. Avernum is about an embattled underground prison colony world.
Obviously you can’t have Sunless Sea and Skies without Fallen London, the game that established its setting. It’s the first game I’ve ever seen that makes the freemium marketplace a character. It’s an important and rather sinister character at that.
Aquaria has a remarkable sense of setting, even if it relies less on written lore.
Full Bore is one of my favorite underplayed games. It was a kickstarter that came out half-baked before early access, and then they used the sales to finish it. So its review scores don’t represent the finished product. It’s a fascinating world where humans are gone and pigs have inherited the earth. It uses a lot of visual storytelling, and piecing together the lore gets really interesting.
Of all the Obsidian games, Tyranny does the most to establish a firm and unique sense of setting. We haven’t seen a game like that before, a bronze age setting where you determine the outcome of entire levels and the disposition of factions before the game starts. Sadly, we probably won’t again.
Unrest is an RPG without almost any combat set in fantasy India. As famine takes hold, the underclasses rise up, an event you see from many different angles. It’s a really interesting setting that’s relatively novel.
All of these are fairly large, have fairly complex settings (except maybe Aquaria).