Why would it be more difficult for the play to be set in contemporary America?

The play is in Denmark yet, at the time, gender roles may not have been much different in America. I think the gender roles have changed over the years. Separation and divorce are quite common today as opposed to Nora's very uncommon act at the end of the play. Gender dynamics today might have equality as being the sought after norm rather than the inequality implicit in Nora's marriage to Torvald.