Well, with Phineas done, let's look at the world he'll be inhabiting. Yes, there's only one setting in the SUE System, and that is the multiverse. I will try to describe it in the way we learned of it, although every actual player in this system found out about the madness of the setting long after their characters were created.
The world we know is only one of many, goes the setting. Specifically, there are 7200 interlinked worlds, called "realities" for some reason I think too clearly to understand. Why precisely that many? It's never explained. At any rate, "Earth Prime" is reality 1. Reality 7200 is a poorly defined inescapable prison. The remaining 7198 are all works of fiction come to life, written by Earth Prime inhabitants and by some mysterious mechanism (read: the whim of the system's creator) chosen to be real. These people are called Authyrs (always capitalised, always spelled poorly, because it's just that cool), and possess utterly absolute power within their settings. They write it, it happens.
Unless someone leaves. See, people are free to travel one setting to another; this frees them from the absolute control of their creator, and renders them permanently able to see the portals between worlds. Authyrs can do this as well, and retain their powers while doing so. One might see, looming like an iceberg in the north Atlantic, the near certainty of someone writing a setting explicitly designed to give them ultimate power, going there, and becoming a god among men with almost no effort. Not yet; we have some deckchairs to rearrange.
Not everyone can become an Authyr, you see. Aside from the aforementioned GM Fiat (because the GM is the Authyr of the multiverse, get it? ha ha ha HELP ME), most of them write collaboratively. Every author, editor, artist, and special effects guy, among others, "dilutes" the omnipotence out among them until they're more or less powerless. Only people whose works have never been edited have Exclusivity (also always capitalized).
It may be worthwhile to ponder, for a moment, the type of people who write without the benefit of collaborators or editors, and imagine a world in which Link's Queen and Tara Gilespie are omnipotent while every actual author in history is not.
Of course, the absurdly low barrier to godhood might strike one as stretching suspension of disbelief to the breaking point; you'd think someone in the whole of human history would have at some point cracked the code, scrawled "I'm God" on a cocktail napkin, and started taking over the multiverse. Again, Argument from Common Sense; the world stayed stable like this until the metaplot came along circa 2010 because Fiat. It helps that none of the "real" settings were written before the mid-fifties (because, you know, nothing in human literary endeavor from the Epic of Gilgamesh to around the Catcher in the Rye was good enough), but even so, fifty years seems a bit much.
We have an answer to that, actually. Meet the Multiverse Integrity Commission. From their secret base beyond time and space, they strike throughout 7200 worlds to defend the almighty canon from the scourges of tourism, commerce, and compassion. They have no backers and no governing agency. They have no one telling them they have to do this; there isn't even any effect on the fiction itself, since the Authyrs aren't affected by what actually happens in their universes. These guys literally dedicate their lives to being obnoxious fanboys with neuralyzers and nuclear warheads for no reason other than a sourceless dedication to preserving canonicity.
I can't begin to catalogue everything wrong with this. There's no reason for it. Even if you accept this craniorectally inverted cosmology, the idea that real people can look at other real people trying to escape some of the most horribly dystopian settings in fiction and say "nope, Matt Ward decreed it must be so, so we're gonna wipe your mind and throw you back into Hell"...the sociopathy here is staggering. Given some of the component realities, what we have here is grognardy canon nitpicking taken to literally genocidal levels--and they fight tourists, literal multiverse-hopping tourists, with weapons that put Star Wars to shame.
And they're supposed to be the good guys. Players are assumed to eventually work for them. Enthusiastically.
I can't really offer a concise review of the setting, because I'm trying to keep to dry heaves here. It's bad, it's full of holes you could drive a bus through, it's inconsistent, and it's an absolutely transparent mechanism for handing godlike power to a very specific kind of person while player characters can exist in a shameful mockery of any sort of setting you like and watch it happen. The mechanics of the portals that are invisible until you go through them are never elucidated; it's "science beyond our comprehension". The mangling of physics to let matter as we know it exist on an infinite, flat plane is also black-boxed. The countless omniscient entities in the 7200 worlds are also blinded to the underlying system by fiat; "the multiverse is more infinite than them". There is no part of this that is not a hideous abomination to every concievable train of sane human thought, and it just gets worse the deeper you go, splitting into infinitely many equally idiotic components indefinitely. Every justification offered is simultaneously tissue-thin and somehow worse than just leaving an unanswered question, and the only way to let anyone with an IQ above their shoe size play in it is to constantly punish them for thinking. Thankfully, the system does that even without GM assistance. Look over even smallest part of the setting, try to connect it to the world as we understand it, and you're trapped in an endless cycle of extrapolation, handwaving, and facepalming that starts with the utter abandonment of ontological inertia and ends with enthusiastically joining the cult of an Elder God, just for some direction in life beyond everything sucking in every concievable way.
Join us next time for the metaplot, which involves the exploitation of these mechanics with a cunning only Baldrick could ever imagine.
Try not to have eaten anything beforehand.