There are several different types of World systems in RPGs. “Generic” rules systems come with a rules framework but no world, it’s some assembly required or sold separately. Now you can have a world system in an Rpg and still make a “Homebrew” system (one of your very own worlds) and have a ton of fun. Or you can play in an existing one where “you’re in our world now”.
“Generic” Rules System There are a lot of generic rules systems out there. Basically Game Companies found out that players were making up their own worlds in come cases and so they opened up their rules systems for homebrews, The Open Gaming License allowed 3rd party companies to release worlds for pre-existing companies. Generic Rules systems are Universal rules (usually) and let the players either make up their own world, buy 3rd party stuff and use it, or purchase The actual Intended Rules world. This is my personal recommendation, but I suggest staying away from “Generic” Rules Systems if it’s your first rodeo. Use a Pre-Defined world because Making your own world is great and all but it gets overwhelming fast. You create a Town that turns into a city that then turns into a kingdom and next thing you know you are Creating a World that will never see the light of day because you bit off more than you can chew. Take it easy, play in their world first, get your feet under you and see how the rules work before you take them into your own hands and create something new.
Pre-Defined Worlds. Tons of RPG’s out there have Pre-Defined worlds, most of the big ones Dungeons and Dragons, Call of Cthulhu, Shadowrun, Vampire the Masquerade have rich storylines and backgrounds. There is nothing wrong with playing in Their world. You can get such a great and rich experience and I highly recommend playing in a pre-defined world if you are a new player. There is an experience in seeing how the rules are intended to play, how their world works, seeing their brainchild grow into an adult. Now the only problem with playing in their world is it is usually more expensive. Generic RPG rules sets are cheap, get a book or 3 and you make everything else up. Pre-defined can get a dozen books to 250 because the games have been around 25, 30 or 50 years.
This is your world, do with it what you will. In recent years Companies instead of doing a world and releasing their rules later as generic systems, have just done Generic systems to begin with. These companies embrace 3rd party books and adventures, with a more rules lite system (usually), letting other people worry about the world. Now in my opinion these companies have so much more new content to deal with which isn’t bad, instead it gives you so much more to work with. I mean think of it like this, Dungeons and Dragons and Call of Cthulhu have generic systems but built their rules on a rich world so a lot of people say don’t fix what’s not broken. Whereas other companies Such as Evil hat games (the Makers of the FATE system) and Lumpley games (who published Powered by the Apocalypse) published their generic rules first and their worlds exploded with content later theirs and 3rd party both.