If you haven't read Divergent you'd have no idea where this book is set. After all, it's called Four: A Divergent Collection not The Setting of Divergent: A Divergent Tourist Guide. Most of book's pages are devoted to learning about Four, not where he lives. We get the typical Divergent sites, like trains, the Pire, and the Dauntless Pit, but other than that, we don't spend much time exploring our surroundings.
Although we may not get the "Chicago" part of "Dystopian Chicago" coming across (where are the deep dish pizzas? Where's the Bean? What about the awesome architecture?) the "Dystopian" part is loud and clear.
Has this society gone terribly, horrible wrong? Is it more "no good, very bad" than Alexander's day? Is everyone way more than fifty shades of miserable? Then—yup—this place