Lawrence Watt-Evans' Legends of Ethshar is pretty close to a "Setting Series". It's not absolutely pure: some characters who star in one book will guest-star in later books, and there's a noticeable sub-series about the start and end of a particular kind of magic. (Although even in that sub-series, the star of one book won't be the star of the next.)

The first dozen or so of Piers Anthony's Xanth seems like it also qualifies — I limit it to that because I have no idea what he's done with the series since the late '80s.