Would a Lord of Space be able to have direct control over the setting? Like, being able control and create all the places in the story

Yes but also not necessarily. A Muse of Space could have a similar power, after all, even though the Lord is the most Active, Caliborn plays with the ‘forces of inevitability’ and passively lets things fall in his favor, and Alt Calliope, the most Passive as a Muse, directly creates the Black Hole to collapse everything.

So either Lord or Muse of Space could Create the Setting and Determine what happens where, but in the Canon we only get to see Calliope influencing things through her Art, her Fanfiction, and eventually Breaking Everything Apart rather than creating it.