Setting is, to me, the reason players engage. System can be fun, but setting provides the material to actually care about. See the problem is this.
This is Bob. Like any player, all he really wants is something interesting.
And this is Bob's character.
But no matter how engaged that character is, unless the setting is engaging, then Bob is still:Bob needs to care about the setting. He needs to care about the people in it, and about what happens to it. it needs to become as real to him as the other fake things in his life, like books, movies, TV and the Internet. Only then will I get the engagement I want from Bob.
Simple as that.
1 - This is, btw, one of 4e's great strengths. It provides something interesting through pure play experience alone. For people who enjoy it (obviously not everyone) it doesn't really matter if the story and background of a given adventure is a pile of crap (as it often is) because the fun of the game is in the actual fight scenes. All that literary advice about conflict needing purpose? Out the window. Conflict is a perfectly valid purpose in 4e.
As an additional note, Bob's character's image came from one of the stock art packs I bought from The Forge Studios a while back.