Was the poem in an urban setting

I don't think this was an urban setting. The first two stanzas are written from the perspective of the Magi who endured a difficult journey across the desert to witness the birth of Jesus. The second stanza is dense with biblical allusions. In the third Stanza, a Magus reflects upon that experience, and wonders at the paradox that the birth of Jesus was also a death—meaning both the imminent death of Christ, and the death of the old, pre-Christian world order.