I rather see the hyperbole of changing the setting as realistically aspirational. You aren't going to seize the Realm Defense Grid in your first few sessions, but with hard work and lots of XP, its entirely possible that you might do it one day.
Different parts of the setting are also vastly more amenable to change. If your PCs want to free a threshold nation from the grip of the Realm, that's certainly doable for a starting circle. The Threshold is already bordering on rebellion in many places, the PCs likely out powered any particular player in a Threshold nation, certainly as a circle. They might need a to defeat a Wyld Hunt or two, but the most dangerous Dragonblooded are all home on the Blessed Isle preparing for civil war.
Doing the same to the Imperial city or Thorns though is a different game. There you'd have to deal with legions of very powerful dragonblooded wielding some really potent artifacts/several circles of abyssals with potent artifacts AND Mask of Winters. Thats more end of campaign stuff, but if you did it, the setting is really changing.
So I don't think its too far off base to say that PCs can change the setting, sometimes a lot, but just to realise that various parts of the setting have wildly different power levels. Change Lap, sure. Change Hell, maybe not until you have a few more dots in essence at least.
Wanting to make big changes though can be an excellent hook for the PCs. They will need to recruit allies, locate powerful artifacts, eliminate obstacles and rivals to open up a run to the ultimate target. Its not the kind of thing you just breeze into.