According to my original post on the setting, ATWC is based on 'early modern Central Asia'. I'm pretty bad at restricting myself to Central Asia proper, as posts based on places like Azerbaijan and Vaygach Island and Yakutia will demonstrate; but what about the early modern period? Exactly which period of Central Asia's history is ATWC supposed to be based on, anyway?
This question has about three different answers. The overall technology level, clockwork robots and airships aside, is pegged to the end of the 17th century, but this doesn't match up with the implied political landscape: by 1700 Siberia and Mongolia had mostly been conquered by Russia and China, respectively, whereas ATWC presents the various steppe khans and taiga clans as still being independent. So the political setup is closer to Central Asia in 1600; but this, in turn, fails to match up with the fact that ATWC presents the Great Road as still being the primary artery of trade between the east and west, whereas by 1600 the real world Silk Road was in steep decline, rendered largely obsolete by the opening of direct maritime trade routes between Europe and Asia. The Great Road in ATWC is closer to the Silk Road in its late-medieval heyday, during the period of Mongol rule; but that doesn't match up with either the political or the technological contexts. In practise, then, ATWC is self-consciously and aggressively anachronistic in its use of Central Asian history. It's not as bad as a lot of D&D settings, which will happily place an ancient Celtic druid, a Viking warrior, and a swashbuckler from Renaissance Florence alongside one another as citizens of states which are described as medieval monarchies, but actually seem to function like eighteenth-century nation-states with twenty-first century moral norms. But it's not great, either.
Of course, ATWC isn't set on Earth; it's set on an unnamed world whose history has been mangled by untold centuries of magical meddling and the unwise large-scale production of clockwork murder robots, so it's not exactly surprising that the details don't quite sync up. It's inhabited by talking bears and people made of solidified sunlight and people with clockwork computers stapled to their brains, so strict historical realism is obviously not its highest priority. At the same time, however, it is attempting to evoke a certain time and place, however vaguely defined; my descriptions of the setting as 'early modern' and 'Central Asian' may be imprecise, but they are not (I hope) completely meaningless. So where does one draw the line?
I've been gaming long enough to know that the number of players willing to absorb large quantities of information about campaign settings, whether historical or imaginary, is vanishingly (and probably mercifully) small. If much of the world of ATWC is rather vague, full of imprecise markers like 'the steppe khanates' rather than specific lists of polities, it's because, in my experience, that's all most players will ever want or need from a setting; they'll say 'Oh, yeah, those Mongol guys' and take it from there. Try to talk to them about Mongols and Oirats and Buryats and their eyes will glaze over, and at the end of it all they'll still just be thinking of them all as 'those Mongol guys'. At the same time, though, unless you're playing in a deliberately absurdist style, I think that most players want a world which at least feels as though it makes sense. Suspension of disbelief is a subtle thing, which operates largely at an intuitive level, and one advantage of drawing upon history is that it gives you a set-up which you know could exist, because it did exist. Maybe no-one at your gaming table has the kind of specialised historical knowledge to know why certain kinds of state formation accompanied certain forms of technological development: but they will know that knights and castles go together, and games can and should take advantage of that.
Then there's the issue of player expectations: roleplaying is a collaborative exercise, and that means that the game-world which matters is always the one that develops, in play, through the shared understanding of all participants about the fictional world their characters inhabit, rather than the one that sits in the GM's notebooks. Very often different players will have slightly different interpretations of this shared world, and that's OK; but if they have very different interpretations about how the world around the PCs is likely to react to, say, casual acts of questionably-justified violence, then that's likely to cause problems in play. Having a stable historical reference point gives players and GM alike some kind of shared basis upon which to build their expectations. You don't have to be a professional historian to know that a setting modelled on Dark Ages Finland is going to place different restrictions on what PCs can get away with than a setting modelled on 1930s New York.
I'd suggest, then, that unless you're group is actually serious about using RPGs as a way to explore historically accurate settings - which is something I've heard legends about, but never actually seen - then anachronism really only becomes an issue at the point where it generates confusion for the players. Put the PCs in an ancient Rome knock-off, and they pretty much know where they stand: there are legions, gladiators, slaves, orators in togas, temples to different gods, probably an emperor, and so on. Put them in a Victorian London knock-off, and they'll likewise have some idea what to expect: there are guns, policemen, factories, workhouses, newspapers, probably some kind of monarchy, etc. Tell them 'it's basically ancient Rome but with robots' and they'll deal with it, because they'll understand that the robot centurions, robot vestals, robot gladiators and so on are subsumed into the general ancient-Roman-ness of the setting, their presence not really disrupting the basic assumptions shared between players and GM about how the fictional world generally works. But a city which aggressively mixes up elements of Ancient Rome and Victorian London is going to leave them confused and off-balance, never sure how they should be responding to situations or how situations are likely to respond to them: and unless that confusion is something you're actually aiming for, that's probably not a good thing.
What does the early-modern-ness of ATWC actually mean? It means that PCs have flintlock weapons. It means they drink coffee when they're tired and gulp down laudanum when they're in pain. It means they read printed books and navigate with the aid of dry magnetic compasses and use spyglasses to check what's raising that distant dust-cloud out there on the steppe. All of those things create expectations in the minds of players. They might be fuzzy on the details, but they'll know that their musket-wielding, coffee-swigging PCs don't belong to the same world as Genghis Khan. Some of this knowledge will be explicit, but a lot of it will be implicit, a generalised sense of the kind of world which those things imply, and of the kind of lives their PCs are likely to be able to live within it. Anachronisms which don't interfere with that are probably fine; but anachronisms which do interfere with it really need to add something worth having to the setting in order to earn their keep.
This is why I've tried to make sure that the more aggressively anachronistic parts of ATWC - the walking houses, the mecha, the Brass Men, and so on - are all subordinated to the general early-modern-ness of the setting. This world is not industrial: its clockpunk technology is all the work of individual artificers tinkering away in workshops, personal and artisanal rather than standardised and mass-produced. The walking houses get used in the same way as any other form of caravan. The mecha are simply ultra-heavy infantry in some despot's army somewhere. The Brass Men are basically just another ethnic minority who happen to be made of metal and gears. As a result, they hopefully add colour (and robots) without confusing the overall sense of what kind of world this is, and what kind of things tend to happen in it.
That way, if and when you bring in real anachronism, Expedition to the Barrier Peaks style, it'll have the impact it deserves!