With settings like Tekumel and Glorantha, the art is pedagogy about both material culture and what might happen in that world. With Everway, the art is part of how you make characters in a very storygamey way. So I think there are a few examples where the art matters a lot for being in the world and story.
With Coriolis, I agree that the art is good and really helps suggest a setting in a way that the iffy translation can’t quite do, but it also irritates, since everything the art does right is a borrowing from Gerome and the other Orientalists, who did it so much better – and actual Islamic art and culture is so much more interesting than we get in the game.