There's a large distinction here between writing mode and GM-mode. GM-mode favors worldbuilding in a big way, since you're relying on PCs to step up. Having strong NPCs often hinders that, so it's usually more about having a setting that really kicks for a couple of sessions until everyone has a good feel for the characters involved.

When I'm writing short stories, though, the character is almost always the first thing to come. It's harder to hang stories on settings than it is RPGs.