When you change the setting, this gives the writer the choice to build a background that will support the tone (emotional impact of the writing) in more depth.
Let's say the writer wants to create more tension/fear in a piece that is simply a character walking down a road/street.
"Lucy walked down a main street with heavy crowds and bright lights flooding her senses, as she made her way home for the night."
[This examples works more in showing that the character is more alert in their setting but it doesn't give the feeling of tension/fear.]
"Lucy walked down a dark alleyway alone, as she made her way home for the night, though as the afternoon carried on thick clouds covered the sun and a soft drizzle began. Piles of trash covered the alleyway floor, as Lucy caught rats scurrying in the shadows. This along with the heavy stench emanating from the dumpsters placed Lucy in an uneasy state."
[This example now places them in an area that is one straight path enclosed by walls, alone, and with dark weather looming over them. When presenting more details of their setting it also builds a picture of how uncertain the reader would be on what would happen next. When you change the setting for your story, it also changes the view point that the reader might have on how the tone of the story is changing.]
If you need further explanation or help, feel free to reach out. You've got this!