My opinion? There are always exceptions, but in general, I think games should set their game wherever they want - lore, history, while important, should never limit and should take a backseat to what could otherwise be an amazing 'virtual vacation' for a player.
Just because it "makes sense" a player should be in a dimly lit, dingy, broken-down brown warehouse, doesn't mean that's where they should be. For some games that really hinge on a sense of realism, I get that. But for many games, this is not the case and can be explained away with the faintest of dialogue/exposition somewhere.
There are a great many people that do not care what makes sense or doesn't, as it relates to setting. If it's explained away enough and internally consistent with itself, I think you can get away with more than one might on-the-head believe.