Because when people play RPG's we like to be thrown into a whole new world, also fantasy always makes sense with the kind of monster you fight.
If you want a game with incredible variety, try 'Terranigma' by Enix on the SNES, best game on Earth.
EDIT: On Terranigma you can develope every major city found on Earth. Full action based fantasy RPG at the same time, purely beautiful.








