Where is Angel Heart set?
Japanese manga series
Angel Heart (2001): 1 real place Japanese Wikipedia files it under as its setting, in Japan. Wikidata records no setting for this manga at all, so this is a category rather than a statement, and it is labelled that way below. Where the manga takes place, not where it was made: a manga is drawn and filmed nowhere, so this is the only kind of location it has.
Part of the City Hunter franchise
Places per Japanese Wikipedia: “新宿を舞台としたアニメ作品” category
Japanese Wikipedia’s “新宿を舞台としたアニメ作品” category lists 1 place. A category is an editor’s choice, not a sourced sentence, so these places are listed apart. Each links to its category.