When we’re creating our stories, or choosing our game systems/settings, we’re generally given a choice: create a world of our own/use a fictional setting that’s already there, or use a variation on the world we actually live in. Real-world settings provide a certain familiarity and an existing structure, but while they have their benefits, they have their disadvantages as well.
The first advantage to a real-world setting is that it comes pre-created. Instead of having to take the time to figure out all the geography, all the cultural details, and all the—well, everything—one can just take what exists and choose how to treat it and what to embellish. Add all, or even a subset, of the existing mythological creatures out there, and you have a lot of ways you can go. If you’re the kind of person whose best work is done taking things that are already there and coming up with explanations for and variations on them, rather than making things up from whole cloth, this is a major bonus.
The second is that a lot less requires explanation. People may not perfectly understand the concepts you’re playing with, but they’ve probably run into the basics in their everyday lives, and have a whole lot more to extrapolate from. This way, you don’t need to spend near as much time expositing; if your audience is already familiar with it, you won’t need to talk them through it. And hey, you’re pretty familiar with it as well; you won’t have to spend near as much time hitting the books to get the basics either.
Speaking of explanation, you never really have to explain why you’re using the real world, unless you’re playing with a load of non-real-world elements.
On the other hand, since you’re not making up the details, and they are well-known, it’s a lot easier to get something wrong. (This, I admit, is why I’m a little leery around real-world settings.) Just because we live here doesn’t mean we know everything, nor even that our impressions of the world gibe with those of our audience—and that’s before we even get into politics.
Similarly, there’s a chance of people getting a bit pickier about suspension of disbelief once the real world is involved. We may not know how various species of fantasy creature work, but people? And physics? Those we know from.
It’s also somewhat limiting; while adding magic or messing with the timeline will give you a few more options, there are only so many cultures and concepts that fit with a not!Earth.
Real-world settings are, when it all comes down to it, a matter of preference. Do you embrace them or avoid them?