Sure, it's a "Winter Afternoon" and we've got a strange kind of light shining through, but that's pretty much where our physical setting ends. By the start of the second stanza, our setting becomes something that's more internalized and indicative of the speaker's "internal difference." So that initial slant of light in winter afternoons becomes more of a device that illuminates the speaker's own internal conflict over meaning.
Our setting is therefore just as mysterious as that slant of light. One minute we're checking out the scenery and the next we're immersed in the speaker's sense of an "imperial affliction" and its "seal Despair." Since we're not quite sure what this affliction is, we may feel as if we're at a loss as to what specifically this "internal" setting is all about. But we do recognize that the speaker is feeling some conflict over these internal and external worlds and that perhaps this is why the details over what each looks like are sparse.
By the final stanza, we're back checking out the landscape as it watches the light's exit. But just like everything else, the landscape isn't defined and only includes the reference of some "Shadows." Overall, our setting is meant to look just as mysterious and indefinable as the light itself. And if we were meant to recognize anything substantial about the setting, it would be the speaker's sense of despair and oppression.