Setting is more than a one dimensional word. It encompasses -- place, duration, time period and level of conflict. Again it goes back to why -- why does your story have to happen at this particular place and moment in time space. Why does it have to happen where it happens? And why does it have to take as long as it does? Finally the setting must take into account the level of conflict.
This is because nothing moves forward in a story without conflict.
In other words, your setting is your story's world. Everything that happens in that story must obey the laws of that world. If you are going to have to do something strange or imbue something with power, you need to foreshadow. for example in A Noble Captive, a trumpet plays a part at the end. In order to have it play its part, the trumpet had to be alluded before -- it had to be part of the world and tied up in the beliefs of that world.
Similarly with Sold and Seduced. The story takes place in the manner that it does because of the real life political events that were happening in Rome. Just before the story began, Pompey had cleared the Mediterranean of pirates. If Lydia had not thought the wine promised to a pirate, she would not have sold it and the story would not have unfolded. Because the story structure is wound up in the setting, it could not have taken place at any other time. Hopefully this helps make it memorable for the reader.
Stories need to exist in their own world, and when you write historical novels, you must obey the historical rules as well. You need to have it feel authentic.
With my wip, part of my initial work is to ensure the story has to take place where and when I say it does. The setting has to be part of the structure.
One great leap forward for me was speaking to some friends yesterday who had lots of books on the area that I was able to borrow. Okay, we did a bit of bartering -- duck eggs and honey for the use of the books. And the books are fantastic --- a 1930s guide to Hexham and the Tyne Valley, a reprint of the 1888 Tomlinson guide to the area and a guide to the lost great houses of Northumberland.
Not only am I discovering why my story has to take place where and when it does, I am also discovering things like cruel Sykes burn near Haydon church once ran red with Scots blood when Edward III crossed the Tyne. I think I know which stream is Syke's but am now wondering what the burn/stream that runs through my garden is called and did it ever run red with blood? Today has been such a gloriously sunny peaceful day that it seems incredible that this tranquil place could ever have run red with blood.