Why I Write Fantasy Settings
I can't say for sure why all my original smut falls into the category of "vaguely medieval historical setting where swords, princes, and dragons could all emerge," but since that's what pushes my buttons, that's what I write. In the story I'm working on now, I could have easily had the Character of Dubious Ethics walk into the protagonist's house, open the fridge, and take out a beer. If I'd found that somewhere I'd have shut the book and walked away. There is absolutely no sexy in that for me; this is why he had to cross to the table and pick up a flask of wine instead, even if I wasn't interested in painting the setting to greater detail just at that moment.
One theory for this is that a lot of my non-con fantasies center around a concept that I call Things Are Different Here.
Things Are Different Here relies upon outraging the sensibilities of the person having the fantasy (or reading the story). Things Are Different Here says, in this country, or in the neighboring one or what have you, concepts that would make us say WHAAAAAAT are the norm. Concepts like the ever-present sexual slave auctions. Or unmarried maidens required to go about bare-breasted. Males disciplined in a harsh matriarchal society. Bestiality rituals at puberty. I'm not even telling you my favorites, so that they don't go stale in the reveal.
And that WHAAAAAAT of outrage is necessary. I want--and I want the reader--to feel the unfairness of this, the terrible injustice of a world that would go against all humane instincts. And of course, I get to channel that sense of outrage into my victim/protagonist if they didn't come from that country in the first place.
Could I root that in a realistic setting? Well, maybe I can't suspend my disbelief for it. Maybe, just as importantly, I don't want to think of all the historical (and current) atrocities my own world is capable of, dreadfully unsexy. Maybe I only want my nice safe fantastical ones--like the tradition that all new brides are required to be f**ked by all the members of their new husband's household--and I need that "vaguely medieval historical setting" to make it all come to filthy yummy fruition.