All comics have to have a setting. Very often, almost all of that setting can be implied, especially if the comic is set in the quote-unquote “real world”. If you’re using magic or hypertechnology to drive your plots, however, it’s important to define how that magic or that hypertechnology works.
Much as some of us would like it to be important, no, it isn’t. Think of fairy tales; think of Tolkien, who never expounded a theory of magic and probably never thought of needing one. The scientific approach to magic was, I think, invented by such writers as Fletcher Pratt and Randall Garrett; it is the novel feature of their works.
We may say, though, that if you ain’t got a theory you’d better make up for that lack in some other way, like compelling characterization.
Tolkien’s Middle Earth does have a very detailed setting, and has written a lot about it. It’s not a setting that tries to explain magic with science, sure, but it’s still the details of this setting that us who like Tolkien enjoy.
That said, at least the Giant says he doesn’t find the setting too important in the Order of the Stick webcomic, and so doesn’t spend much time on it. He concentrates on the characters instead. He writes this in Re: Vampire question settled?.