The temporal setting is important because of the restrictive society in which Edna lives. Edna’s story wouldn’t make much sense if it took place in a society where divorce is possible, or artistry is supported regardless of gender.
As for the importance of setting the story in the Bayou State, the Creole lifestyle plays a key part in awakening Edna to the joys of being open and passionate. Even more importantly, Edna’s vacation at Grand Isle is also a key part of her awakening. Her constant dips into the ocean awaken Edna in a very physical way (and not just sexually). In cliché terms, swimming empowers Edna. The sea teaches her to gain control of her movements and of her body, rendering it harder for her to obey when Mr. Pontellier acts like he owns her body.