A known setting an do a lot for engaging with the player (the cliché about the Vampire players having long discussion about the lore), and the setting is definitely a reason why i would join a game over another, if I see a GM promoting a collective setting creation I wouldn't apply for that game.
However, even in rigid setting, there is a lot of room for player brought element. So you're a Noble ? What does your fief look-like. So you're a robber ? How do you sell your loot ?, what does your favourite tavern look like which ease the GM job and gives players some control on the game world.
So While I don't agree with Build the whole setting together, I definitely expect the players to bring their own elements to the table
The GM should keep control of the discussion. There is a big difference between open questions like "what are vampires in this world?" and closed questions like "what is the name of the vampire queen?" It depends on the group how open questions can be without everything devolving into insanity.
Tried that once. It's was pretty exciting building the setting with the GM and the other players, until said players bailed out one by one. We did that a couple time with the GM then gave up. I'm not sure what went wrong, my guess is if you mix together what everyone wants, you end up with a mix bag most people involved are not satisfied with.