Or, how RPGs used to work...
Because really, the first D&D settings were not spelled out in whole books, but implied through series of adventure modules. It was also implied in the rulebooks and supplements as well. This tradition continues today, though it isn't as prevalent as it was.
As an example, Palladium does not really spell out all the nuts and bolts of their settings (which is a pity in my opinion because their settings are usually pretty interesting), focusing primarily on publishing rules and statistics to support play in the setting. I suppose this is to stimulate creativity and allow people simply make stuff up instead of being beholden to pre-existing material/detail (I'm looking at you, Forgotten Realms). Which makes sense, given that Palladium adheres to the older design modes of RPGs from the early 1980s.
Another example is the Pathfinder RPG as well as D&D in general. While each of these systems have settings associated with them, the settings are heavily implied in the main rules, leaving setting specifics to other books. In 3rd Edition D&D, the implied setting through all the core rulebooks, monster books, and rules supplements was Gary Gygax's Greyhawk campaign setting. The indicators were the deities (all Greyhawk gods), the prestige classes (Suel is a Greyhawk thing, for example), and the extradimensional landscape (which uses Greyhawk's Great Wheel cosmology). The main book for Greyhawk though was the Gazetteer, which was released very early on in D&D 3rd Edition's life cycle.
Pathfinder heavily implies Paizo's own Golarion setting. This isn't really spelled out in the Core Rulebook or GameMaster's Guide, but it's all over the Bestiaries. The monster entries talk about the Golarion cosmology, the places of Golarion, and other specific stuff for that campaign setting. Now, like Greyhawk, Golarion has its own book full of setting details. The setting gets fleshed out monthly in Paizo's Pathfinder Chronicles, which includes details other than just the section of the world the campaign takes place in.
Now, there is a reason to this madness. There is a reason why setting is usually only implied in rulebooks. It's a very simple reason: versatility. By only implying a setting, the game master and players are free to make up their own stories for things. They are no longer tied to one setting because the setting is only implied.