What do you mean by scene setting?
Something related to the specific conflict in your story should happen in the first chapter. Take Butcher - at the end of the first chapter, Dresden has nearly always talked to Murphy about her needing help or run into a client who wants his help. Sometimes both. Or take a couple epic fantasy authors, both of whom have managed to become #1 NY Times bestsellers:
Robert Jordan - the prologue to The Eye of the World establishes the threat of the Dark One, that taint of madness in saidin, and the death of the last Dragon. At the end of the first chapter, Rand has glimpsed the Fade that will burn down the boys' village, leading to their flight until they reach the Eye of the World at the book's end.
George RR Martin - At the end of the prologue of A Game of Thrones, you've seen the Others, who will probably be the Big Bad for the series. At the end of the first chapter, you've run into the dead mother direwolf with the antler in its throat, foreshadowing the end of the book and the more mundane struggle of the series.
Or take Shakespeare - at the end of the first scene of Romeo and Juliet, you've been introduced to the conflict between the Montagues and Capulets, as well as the fact that Romeo's just had his heart broken and his friend is trying to find him a new girl. The first scene of MacBeth is very short, but it lets you know that the witches are going to meet him. You have one more short scene talking about loyal MacBeth and MacDonald, and then by the third scene the witches have planted the seed of treason in MacBeth's head. All this in the first ten minutes of the play.
If "setting the scene" means just worldbuilding, it's probably not good enough. You have to let the audience know what the book will be about as soon as you can, or else you're just giving a bunch of useless information--or if it's not useless, something you could probably explain later, as it becomes relevant. Stories are about conflict. Begin at the beginning. That means start at the beginning of the conflict, giving at least a hint of what Butcher calls "the story question." Of course, start of conflict can give you some room. It can be an argument, a prophetic dream, a violent clash, a message relayed to your main character, etc. As long as the plot's in there somewhere.