Yes, completely setting-agnostic games do exist.
The trick is that all of the truly generic systems that have no implied setting manage to do it by either being very rules-light about how tasks are accomplished, or they have a more normal amount of rules but the rules are about managing players' control over the action rather than what individual characters can and can't do.
One example of the latter is the accurately-titled Universalis which handles any genre without conversion. Instead of giving you rules for creating characters and how skilled they are, it gives you rules for passing (or seizing!) narrative control, introducing new characters into scenes, adding story-relevant features to characters or things, and introducing new rules. Play focuses on setting scenes, discovering conflicting ideas of what should happen next, and then bidding in a very game-y way for the directorial rights for the resolution of the conflict. A point economy is at the centre of the rules, which makes sure that the more control you exert over the game, the longer you have to wait until you can take control again.
By having rules that operate entirely at the level of story-construction and development rather than the level of in-world skills or abilities, such systems can represent any setting at all without implying any setting details at all. The disadvantage is that maintaining setting integrity is left entirely in the hands of the group.
Then there are systems that are so rules-light that they don't say enough about how characters work to accidentally imply anything about a setting. The Window is the first game that I ever learned of that worked like this. It rates skills with a description, like "good acrobat" and "poor chef", and gives you a basic rolling system to resolve using those skills. It says nothing about how characters can improve their abilities, apart from some basic principles like "treat characters like real people." So, again, characters change (or not) according to what makes sense in your setting, and you just do it when it makes sense. Has the bastard child of the king spent the past year raising and training troops? Then maybe they now have a "decent leadership" skill on their sheet, just because it makes sense. Or maybe you take the rules of The Window and add to them in small ways so that they suit your setting.
Fudge is another system like that, which gives you only a set of mechanical tools and then expects you to construct the game you want to play out of it yourself. Fudge is on the heavier side, having lots of bits and pieces that you can bolt together into a tailor-made game system. The Pool is another system that is even lighter than Fudge or The Window.
That kind of basic toolkit system gives you enough to represent characters and resolve the challenges they face, but gives you no rules about what constraints to place on character creation or guidelines for how hard or easy anything should be. By giving you a rolling system for resolving things, but leaving it up to you to decide when and how to apply it, it ends up implying nothing about setting.
The gotcha with all truly setting-agnostic game systems is that they're so agnostic that you're really left to your own devices as to how to make them work to represent your setting. They give you so much rope to hang yourself with that, if you're used to universal games like GURPS which has a rule for everything, systems like Universalis and The Window may make you feel a bit lost in the woods. To not imply a setting, they have to give you absolutely nothing about setting.