As a GM that runs most of my games live having all the Hindrances/Edges in one source is something I really like. I am currently running Hell on Earth and the need to reference three sources (core book, setting book, setting companion) to make a character has proven rather frustrating. I finally gave up and copy/pasted a text document with all the HoE stuff. This way I can just had a player the core book and my printout and they have all they need.
As for the OP, I have picked up books from other settings without the main setting book. Usually it is for the critters or story ideas but I plan on putting them into a different setting. (Maybe home brew, maybe published.) When I do this though any setting specific rules I either ignore or, more often, adapt to the setting it will be used in. The best example of this is the Rippers adventure Death on Dartmoor that I put into my HoE campaign. Several points are all about the Night Guard trying to get loot, instead I made it the Doombringers and it worked rather well. I just have to be aware of the fact that I may not have critical details and will need to work around them.
(Side note: I have picked up the Rippers setting now and really want to play in it.)