In order for an RPG to be complete, it really either needs to come with a setting, or document the assumptions of it's implied setting sufficiently that prospective GMs know what the basis is so they can adapt if necessary (or avoid the game if it totally doesn't meet their needs).
Cold Iron's implied setting is definitely derrived from D&D, but it isn't D&D's implied setting either. For one thing, Cold Iron isn't suitable to the D&D style dungeon (of course D20 is less suited to the old style dungeon than people care to admit).
To use Mike Mearl's term, core story, I would say that the core story of Cold Iron is kill things and take their treasure to gain power.
Fame might be part of that also, though the system provides little mechanical support for that (I've got a renown mechanic, but right now it's rather floaty, back in college, there was "humor level" which was a similarly floaty concept, but was also a skill that you gained XP in just like fighting and magic).
There's no attempt at "story telling" with angst driven elves and grumpy dwarves or any such sort of thing. The non-human races are basically packages of attribute range modifiers and special abilities.
PCs also realistically aren't going to become top dogs. The game provides magic items that need 11th level and up mages to create. I've certainly never run a campaign that long (though I think the system would still be playable up there, so a GM could tweak the XP rate and campaign length to let the game get there).
My campaigns tend to be a combination of wilderness travel with encounters (not really random), and small site based adventures. See the example prep for good idea of what I might prepare as a site based adventure. The adventure the PCs just completed featured three caves to explore (2 from a module - Necromancer's Glades of Death, and one drawn up on the spot) and two wilderness encounters. They were tied together, and I used some of the hooks from the module.
I'd certainly welcome pointers to games you think have done a really good job of presenting what the game is about or what the options you could play are. I don't think many games really do a good job with this. The D&D basic sets definitely did, at least originally providing a small sample dungeon, plus either dungeon geomorphs (original) or a module (later). As I recall, the example of play also tied to the sample dungeon in the book. Games with detailed settings certainly provide a lot of detail for the setting, but often don't tell you what sorts of games to play, and this may be especially true of settings divorced from a system. I remember trying to figure out what to actually do with Harn when I first got it. Of course I was also trying to figure out Cold Iron at the same time. Judge's Guild's original Wilderlands of High Fantasy actually was kind of good. It provided you with players maps that were mostly blank. It was easy to imagine that the game play would revolve around filling in those blank spots. And the wilderness was filled with ruins and lairs. And the City State of the Invincible Overlord was keyed almost like a dungeon (but I have to admit that as much as I like cities like this, I have yet to run a satisfactory campaign, or even a single adventure, in a city).
So certainly I could provide a sample dungeon (or even two or three since they're really pretty easy to write up). I certainly can create formal rules for running wilderness encounters (night and day), and those rules would benefit my game play (ok, now we know what the DC for the alterness checks is, and that for each N that you beat that by, you detect the encounter one round earlier). But how do I describe that while I don't do story arcs, I do connect things.
In the recent adventure, they found a necromancer's diary. This is a great way to introduce the next, or at least some future, adventure. Or there is one of my favorite encounters ever. The PCs had been fighting goblin bands, and after beating them, suggesting they not attack people on the roads (but saying that sure, they could defend their villages and such) and then setting them free. I read this interesting looking ambush adventure in Dungeon Magazine, and then I came up with this idea. A group of ogres had captured one of the goblin tribes the PCs had fought and the ogres set up this ambush. So the PCs suddenly find themselves fighting this overwhelming encounter of ogres and goblins. Then a round or two into it, a PC recognizes the goblins, and the goblins recognize the PCs. And the goblins turn on the ogres. And the PCs and goblins beat the ogres. And the PCs gave the goblins a share of treasure. Now I admit I'm not sure what I would have done had any part of that adventure not gone the way I was thinking, but I didn't have to force anything. And I think it was a cool way to reward the players for their stance on prisoners.
But does that even really matter? As long as the game is gamist, I think anything the GM uses to tie the campaign together would work fine. Cold Iron might also work for simulationism, though it certainly would take care to mesh Cold Iron's mechanics with the setting (unless it's a GM made up setting). So perhaps just some pointers on setting up good challenges is all that's really necessary.