"The Great Figure" is probably set in an anonymous big American city in the 1920s. There are lamps on the street, but they are not as bright as the high-powered streetlights you see in cities today. The falling rain adds to this depressing, noir-ish atmosphere. Noir refers to an aesthetic in a lot of American movies and literature from the 1950s and beyond. Think of people wearing overcoats and smoking cigarettes under a single streetlamp on a gritty street corner, while steam rises up from the sewers and a light mist falls. The Batman movie The Dark Knight is a modern example of film noir. William Carlos Williams wrote this poem well before the term had even been invented, but his vision would fit right into a Humphrey Bogart detective film.
The mood of the setting is anonymous and impersonal, and we don't even know or care where the fire truck is going. It appears suddenly and vanishes just as suddenly. The truck makes a lot of commotion. The setting lacks a sense of direction, and at the end of the poem, when this moment of excitement has passed, we feel lost and disoriented. At most, we remember a small detail like the contrast between red and gold or the inexplicable number 5.