The longer the story, the more I think a reader will come to expect these details to be slipped in casually. This is just my experience and opinion, not real rules. But I read a whole lot.
In epic tales (like, say Lord of the Rings, or Dune), the author practically has a book full of notes they do beforehand to flesh out the details of the world -maps, place names, economy, history, sociologies, tribal and economic conflicts, old grudges, previous wars, you name it.
In novels, about as much of these details as are needed for the story but usually not much more.
In short stories, it often is fine to keep the locale anonymous, unless the locale is a focus for the story.