There are lots of advantages! Most of all is the fact that not a single reader can come back at you and tell you what you did wrong about your setting.
Another advantage is that you can shape the setting to fit the story. You can make the setting become a valuable part of the story. This happens a lot in science fiction and fantasy, but it also happens in supposedly ‘real’ stories in which the writer exaggerates some aspect of the real world until it’s no longer an accurate portrayal of that particular piece of real estate. Doesn’t matter, because the setting is fictional.
So go for it and let’s see what kind of world you can create for your story.