Why use a setting in skrimish games? Or in miniature games at all? Personally, I like a story behind the fight. Just a quick story to flesh out why this tabletop is worth fighting for. In the Hellfrost setting there are so many seeds for conflict ideas. There are all kinds of terrain ideas not just snow and ice.
So when playing a game of Song of Blades and Heroes, or Chain Reaction Swordplay, I like setting the scene in the Hellfrost setting. The same is true when playing Rally Round the King or Pride of Lions.
Having a story that sets the scene makes the game more enjoyable. I gives it a cinematic feel. I like that in my games. As I mentioned earlier the Hellfrost setting has so many threads and plotlines that just about any conflict can be woven into a backstory.