As an old-school gamer, you're right that there's no sense of place or setting. But that's what Mario is all about.
I'm not discounting the quality of games like Super Mario 64 or Super Mario Galaxy, they're all excellent, but Super Mario 3D World is old-school Mario, modernized to be the best it can be.
It begs the question if you've ever even bothered playing any of the sidescrolling marquee Mario games because that's the exact formula Mario 3D World followed. We're literally talking about the father of platforming going back to its roots.
Who cares if he doesn't randomly end up in outer space?