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No articles, and you mis-reference 'mythology' and 'elves and dwarves' to 'setting':

The game is played in a fantasy setting much more similar to ancient Greek myths than Tolkien's Middle Earth.

Thank you for the answer. However, I don't get the misreference remark.

A 'setting' is a location or environment. 'Mythology' and 'elves' aren't an environment, so the reference is odd, and that is why I changed your wording.

Well, the game takes place in an environment filled with fantastical mythological beings and events. Mythology is either a science about myths or a compendium of myths. The latter, at least in my mind, composes a setting, an environment, fantastical one. Or should I rather explicitly say that the game's setting is similar to the environment of Greek mythology (myths)? In my language, the sentence

I am trying to show you careful composition that is accepted by editors and educators. I suppose that is why you have come to English Forums. However, you may of course be as lax as you wish. Yes, you will have to use 'environment of' or a similar phrase if you don't like my renditions.

I like your renditions. I'm not trying to defend the composition of my sentence, even if it may sound like that. Quite the opposite