Others find the 1920s too strange, too plodding, and too lacking in firepower, and move games forward into the modern era, where bullet holes can aid the air conditioning. Supplements exist for each era. The eras are distinguished when the rulesbook refers to historical information, but one era is not better than another. Set play when you wish. Make a new era if you like.
Historical settings are as real as possible.
The world and the United States were very different in the 1890s and 1920s from now, and behaviors most find repugnant today were ordinary and acceptable then. Racism, xenophobia, religious bias, and sexual discrimination as we now perceive them were then normal parts of life, and often loudly espoused. Local, state, and federal laws systematically supported segregation and discrimination of every sort, and social forces of great power underwrote that legislation. Scenario authors can choose to ignore social history as not germane, or decide to incorporate specific elements into their plots. Both sorts of approaches have been published.