Its always been in my perspective that one of the many beauties of Frostgrave, is how open ended it could be. It has been done before, but a change in setting would be absolutely engaging, especially if both players enjoy it. The game itself can function as a platform for so many things, allowing you to use your own miniatures, your own scenery, so I fully support this concept. Hell I'd play any MTG setting if I had the scenery for it, I think Zendikar, Mirrodin, and even Theros would all be interesting settings as well.
Thank you,
LC