Now, I /love/ story with the passion of a thousand burning suns, perhaps too much so, but system plays a large part in how that story is told, and what kind of stories can reasonably occur.
A good comparison is movie/television styles; take Band of Brothers for instance, telling the tale of heroes and soldiers that, while they are often remarkable, are just as frail as the enemies they face.
Now take a look at standard action movie fare where one man can almost flawlessly take down whole armies of guys better armed than than anyone in the first example, fight a few 'heavies' that can also fight small armies, take a few bullets and/or broken bones but other than a limp or hunched posture are otherwise good to go fight the Boss.
In worlds functioning differently, the stories differ even when all else is equal, but story is still important. The sorts of stories are merely different.
Exalted is a great example of the higher end of the spectrum, and I'd hope you would agree that if the system were very different, even with the same 'fluff' and background attached, things would come out very differently.
But I've gone off course again, the original point I wanted to make is this: Story is important, but just because the gameplay is lower powered with less progression and higher chance of death, that is not an indication that story is not present or inferior.
Some would readily argue the opposite, that having to rely on environment of the game and the aid of others to survive causes a deeper level of immersion.
Though I tend to lean this way, I know that good story can and has happened in any system with a decent enough group to care about what's going on.