Why is the setting of the story important anyhow? It's just dressing. The story of Star Wars isn't about spaceships. It's about the hero's journey. It's about friendship (and ultimately, family). The same is true about Game of Thrones - ultimately, if you "undress" it, it's a soap opera.
The dressing of the setting is just a way to set up the story. And I don't get it why people need to have everything be relatable. "I can't enjoy a story that's not in my world, because I can't relate to it". Sure you can. Because ultimately, it's a story about human behavior. Even movies with speaking animals is about human behavior.
I mean, I'm not a religious person, and I particularly do not believe in reincarnation. Does that hinder me from enjoying the story of SFAM? Not at all! Because the story is ultimately a basic "whodunnit" at its core.
The Astonishing is a story about people. It's setting is a dystopian future (so how you get "game of thrones" from that - considering game of thrones is set in a medieval-like setting (High fantasy) I'm not sure). To ease your way into the setting, the story comes with illustrations of the people in the story and a map, as well as pictures of some key locations in the story. And it's the most elaborate I've ever seen DT be. But I completely understand why. To experience this album is not just to experience the music. The story is so important that you need to experience it like a play. In fact, I can with absolute certainty say that if the story is a problem for you, you will have problem with the music as well, because they're so strongly connected.
This points towards a more general problem I've always seen from DT fans. REGARDLESS of what DT does, a great portion of the fans will hate it with a passion, a great portion will love it with all their heart, and the rest are just "it's okay"... It even happened with SFAM. Heck, it even happened with IAW. It's become so predictable that I can tell instantly how the fanbase will react to any song. I think it's insane, I don't see this level of scrutiny in other fanbases.