Let's get this one out of the way first: following the Biblical story Milton's poem is based upon, Samson takes place at some point during the ancient history of Israel when they were at war with, and conquered by, an enemy referred to as the Philistines. There is still a good deal of scholarly debate about whether or not Samson could have been a historical person, or at least based upon an actual Israelite warrior.
Our thought is that it doesn't matter. Milton is obviously not interested in setting his poem at a particular time or place; he's interested in what he thinks of as the universal human condition. For him, there's no difference between 1100 B.C.E., 1660 C.E. or, presumably, the 21st century C.E. (You can't blame him for not anticipating the Internet.)
Everything that takes place in Samson literally takes place in this one, single setting. Yes, everything. And while that might sound like a recipe for snooze, it's actually typical of Greek tragedy, which didn't have lots of scene.
And it should be clear after reading Samson that a whole lot can go down in just one place and in just a few hours (another typical feature of Greek tragedy). Both these qualities combine to create what Aristotle, Milton's Greek authority on all things tragic, called "unity," in which everything is contained in a nice, neat package.
Okay, so, not much to see in the physical setting. What we'd like to think a little more about here is the setting off-stage, i.e. the Philistine theater.
Even though the theater is never directly represented in the action of the poem, we hear all about it from the messenger, since this is where Samson's destruction of the Philistine people, and himself, takes place. Milton's readers would probably have been immediately clued in to the importance of this theatrical setting because this is a major difference between Milton's Samson and the Bible. In the Book of Judges, Samson destroys a Philistine temple, not a theater. Combine this fact with his big prefatory announcement that he's writing a tragedy and we have a pretty clear idea that Milton wants to explore the question of performance, spectacle and the theater.
What's not clear is exactly what conclusion we should draw from this exploration. Is Milton staging the destruction of his genre? And what does that even mean and why he would he want to do that? Or, is Milton particularly anxious about the idea of performance? That would sure explain why he's so insistent that Samson Agonistes is not meant to be performed, and it would fit in with his religious position as a radical Protestant. (They weren't too fond of the theaters.)
But it's also worth considering that Milton may not condone Samson's actions. Maybe, by making Samson destroy a theater, Milton is distancing himself from his own character. One thing's for sure: it gives us a lot to think about.