RPG Vault have posted part 1 of thier RPG Roundtable, in which 5 developers look at the connection between RPG's and fantasy themes:
Executive Producer, Bethesda Softworks
The Elder Scrolls III: Morrowind et al
I definitely agree that the majority of CRPGs are tied to fantasy settings, and more so to what I would call "classic" fantasy settings such as Tolkien and D&D. The largest reason for this is simple; that's what the consumers want. It's what most game players think of when they think "RPG." They think of swords, wizards and dragons.
Now, if you look over the landscape of games that have come out, especially with the number of RPGs (and even more so the online ones), more and more games are being released in other settings, including many science fiction settings. Developers are trying to set themselves apart from the "classic fantasy" settings in any way they can. We did much the same with Morrowind. By setting the game in the land of Tamriel's dark elves, it opened huge new avenues for creating cultures and sites that are not traditionally seen in a fantasy setting. At the same time, we made an effort to keep the classic fantasy setting of our "Imperial" culture, so that the player would see familiar things, which creates even more contrast against the unfamiliar.