It's been a pretty long time since anyone pitched in on this, but I might as well add my input here.
I personally lean towards a setting which is physically and historically distinct from our own world, but not actually fantastical. The setting should be unfamiliar enough to be novel, but I think the game may feel most applicable to the real world if all natural laws are implicitly the same as in our own world.
One plot which I've considered for such a setting would be to have the main character start out training as an investigator in a culture with unusual standards with respect to honesty and truth-seeking (which accounts for the early game being much simpler, to ease the player into the mechanics,) which happens to be a colony of a much larger imperial power, with technology and culture perhaps comparable to the British Empire. The main character eventually travels to the homeland of the colonial power, where he's at first received as uncultured and unsophisticated, but eventually builds a reputation for being an investigator
par excellence, and attracts the attention of the crown.
From there, the narrative splits into branches. The main character can throw his weight behind the empire, to bring their culture and technology to parts of the world which still languish in primitive conditions (imperial branch,) he can oppose them, and try and restore self-rule to their colonial holdings, including his homeland (rebel branch,) or he can try to create a cultural revolution through which countries around the world can elevate themselves to a level above what the empire currently occupies (philosopher branch.) All the branches should be written so that at least some subset of players will feel like they're doing the right thing.