It’s important not to confuse ‘setting’ with ‘story’; they are not the same thing. Games like DOTA 2 and Counterstrike have a setting, as do nearly all games, but the game itself contains no story at all. Arguing that players create the narrative is also a bit weak; everything can be construed as a created narrative in that sense. Consider “this is how I made toast this morning” - that’s a user created narrative, but I wouldn’t say my toaster is presenting me with a story.
I love story based games, as I said before, but it’s honestly not that important when framed against good game mechanics and there are many popular and enduring games that survive perfectly well without them.
Someone said that people don’t play Skyrim after they finish the story. I don’t think that that statement is correct, and I’m sure there are many players who have racked up literally thousands, in some cases possibly tens of thousands of hours in that game. With regards to Dear Esther - I would contest that this is kind of an edge case and is not really a game, but an interactive narrative. Games by their nature need to present some kind of objective that is met be overcoming a challenge, but Dear Esther doesn’t do this.