The problem of HERO not having money with which to license a setting has already been mentioned.
But I'd like to point out there's a huge difference between a cool setting and an already popular setting. There's a lot of cool settings which aren't particularly popular already.
Joel Rosenberg passed away in 2011 and his fantasy Guardians of the Flame series is for all practical purposes at this point abandoned. It is a very cool setting.
One of the greatest wizards of the world challenged the head of the Mage's Guild for supremacy. Their battle caused widespread devastation (incidentally inconveniencing the most powerful religious sect in the world) and the challenger was forced to flee the dimension in a one way trip.
He ended up on Earth, where time moves more slowly, and spent time licking his wounds and coming up with a plan which might allow him to return and get revenge. He eventually managed to use his remaining power to subtly manipulate events on his homeworld to prepare things. At the same time, he became accustomed to life on Earth where he had relatively little access to magical power compared to his homeworld.
He decided would have to send pawns ahead to open a gate for his return. To get those pawns accustomed to the setting of his home world, he posed as a GM and had them adventure in a RPG with his homeworld as the setting.
The RPG group was eventually shoved through without warning into the wizard's homeworld with what turned out to be inadequate instructions on what to do. The group ended up at odds with the Mage's Guild, the Slaver's Guild, several local governments large and small, and not on particularly good terms with that large religious sect.
When the gateway turned out to not work quite like the wizard thought it was going to, the group ended up being forced to stay in that world of their RPG campaign. And they decided that sucked to be stuck there in a fantasy world as their real life without indoor plumbing, toilet paper, civil rights, personal safety, etc. And they decided that they needed to do something about it.
They ended up establishing their own Home as an independent political entity in a fairly remote area and essentially declared war on the Slaver's Guild because slavery is Wrong (with a capital W). They decided to combine their knowledge of the modern world engineering and technology to bootstrap their fantasy world forward as far as they could take it.
The setting for play would be a world where Slaver caravans are under threat of attack from Home raiders. Slavers are having to hire excessive numbers of guards (and on occasion a wizard) to protect themselves and their cargo. Slaves freed by raiders have the choice of trying to return to their homes or being escorted to Home and becoming part of their growing community.
New technology and better steel weapons are trickling out of Home (the closer you are to Home and the better relations you have with them, the more likely you are to have access to the best). Limited numbers of single shot primitive firearms are available to Home raiders but sword and spear (and magic when it is available) still hold sway. The secret to making gunpowder is a closely guarded secret which the growing number of Engineers keep guarded in what they call The Batcave.
Surrounding nations are baffled by the new political entity which is governed by something called "democracy". The nations which are regularly raided by the Slaver's Guild tend to like Home. Nations which normally sell off their young to the Slaver's Guild in order to make ends meet during lean years aren't quite sure whether they like Home or not. Nations which thought they might someday like to expand into the area which Home has claimed are not happy about Home at all. During raids, Home only goes after the Slaver's Guild. If Home went after slave owners themselves, every political power would be against them.
New players entering the setting could either be natives of the world or new people from Earth which the wizard has sent through to fulfill some sort of mission. Time on the fantasy world moves much more rapidly than on Earth so the wizard despite his best efforts can't keep close track of events. And he can't communicate with any pawns once they've passed over. They might come with (incomplete) information which isn't available to anyone else but they aren't going to show up with wizard-provided technology/magic and comlinks to him.
The original people the wizard sent through are highly resentful of him and his manipulations ruining their lives (even though most of them, over time, adjusted quite well). Part of their desire to change the world is to give the wizard a giant middle finger.
Players who the wizard has sent through from Earth in the past have been "translated" into their RPG character. So a person who played a fighter would become a fighter, the thief becomes a thief, the cleric a cleric, a mage becomes a mage.
I may not have done a good job of describing it but that is a very cool setting whether to play in or to GM.
It's also a property which could probably be picked up from his estate very inexpensively (as inexpensively as intellectual properties go, not inexpensive like a box of Pop-Tarts).
But would that setting help sell your game?
I don't know if I understand enough of why people buy games in the first place to be able to answer that question.