An important thing to do in your writing, no matter what you write, is to examine why the events of your story are taking place. Is it just because the plot dictates that it is so? Is it because of characters interacting as they naturally would? Whatever the reason, you, as the writer, need to know. Whether or not you tell readers is entirely up to you. In some cases, you don’t have to tell readers directly; your story should show readers the why without your having to go out of your way to spell it out. Your characters should show readers the whys of their interactions through their personalities, and if they don’t, you should go back and revise to strengthen your characters so that they do. Setting, on the other hand, is a bit more difficult.
One of the questions that I always ask myself when I’m writing an urban fantasy is “why is this world the way it is?” This is also a question that I ask myself when I’m reading urban fantasies by other writers. It’s a question that I ask pretty much every time that I write or read. Sometimes, the answer is unimportant. I wrote a novelette about two people and a computer, and the why of the setting almost didn’t matter, for the whole of the story was about the interactions of these characters with each other, rather than with the world. On the other hand, I’ve written several stories about a paranormal investigator living in Philadelphia in the 1970s, and I’ve spent many hours coming up with a compelling why for the magic in the world that seemingly only he can see.
You shouldn’t stress yourself too much about the why, though. It can be something as simple as “there has always been magic in the world, but most beings with magical abilities try to stay incognito.” This is a gross oversimplification, but this is how the world works in Jim Butcher’s Dresden Files books. Certainly he goes more into it, establishing a governing body for all things supernatural, but at the heart of it, it’s pretty simple. Lovecraft does something similar, establishing his mythos throughout much of the body of his work. Certainly in the case of Lovecraft there are instances where the mythos does not explain what’s going on, but readers don’t come out of a story still wondering why the events that take place in the story take place.
Knowing the why gives your writing confidence, and that confidence will come through to readers, even if you don’t show it to them. Once, one of my alpha-readers asked me why my paranormal investigator character could see the things that he sees. My answer was a sheepish “I don’t know,” and that made me go back and think about his history. You don’t have to show readers your whole hand, or at least not all at once, but if you know the whys of your story, they’ll come through in your writing and leave readers more satisfied.