Hope you end up liking it!!
As for your question, it's because most popular (haha no pun intended) Visual Novels were originated from Japan, hence the association with Japan and visual novels. Since they were made in Japan, it's most likely the creators set the setting in Japan/have the characters Japanese, their native culture. Of course, there are also a lot of VNs made in Japan by Japanese companies that are set in fantasy settings as well, but due to previous point, there are plenty of VNs made in the west that feature a Japanese setting.
It is by no means a requirement, just personal taste :)