Points of Light
Yes, it does. It’s called “Points of Light,” and my understanding is that it’s basically Greyhawk (Gary Gygax’s original setting for Dungeons & Dragons) with the Gygaxian serial numbers filed off so Wizards can avoid paying them royalties, or something like that.
The core books use this setting. Most supplements use it too, though for the most part they strive to be generic enough to be reasonably added to many different types of settings.
I want to include a quote here by BESW, originally made as a comment to this answer, because I think it’s particularly relevant:
I think it's worth mentioning that the Points of Light setting is deliberately fuzzy on the details. IE, yes, there was a war between dragonborn Arkhosia and tiefling-led Bael Turath a long time ago, but whether that's a thousand or five thousand years ago depends on which article/book you're reading. This is done to take some of the "get it right" pressure off the DM and discourage players from telling the DM that his worldbuilding choices are wrong.
This is one of the better ideas that Wizards has ever had, in my opinion, and you should feel free not to worry too much about matching your campaign up with the “official” details. This was always true, even in the more well-defined settings, but a lot of DMs, especially new ones, felt like they had to match everything perfectly.
Setting Specific Material
The only supplements that don’t use Points of Light, appropriately enough, are the setting-specific books, like books for Eberron or the Forgotten Realms (Faerûn is a part of the Forgotten Realms). There’s not any particular reason why you have to avoid the material from those books in other settings, mind you: they may have been written with a particular setting in mind, but that doesn’t mean you can’t incorporate them into other settings.
For example, the Artificer is kind of the iconic Eberron class, but while Eberron is largely built on the backs of Khorvaire’s Artificers, there’s nothing saying that the Forgotten Realms couldn’t have a fair few Artificers walking around. They’re just not quite so ubiquitous as they are in Eberron, so you haven’t seen the magitech-ish revolution in the Forgotten Realms the way you have in Eberron.
As another example, Dragonmark feats are balanced socially rather than mechanically for their intended setting: getting a 4e Dragonmark means you're socially obligated (or being hunted by people with social obligations re: Dragonmarks) and have effectively handed the DM a "tug my PC around" card. Outside of that social context, Dragonmarks are a little overpowered mechanically (read: nearly on par with Expertise in terms of "why doesn't every PC have one of these?”) without extra work by the DM.
The only setting that really doesn’t play nice with others is Dark Sun. Dark Sun changes a lot of the core assumptions about the world, and a lot of Dark Sun material exists to support those different assumptions. It’s been important to Dark Sun, for a long time now (at least since 2nd edition), that it’s completely cut off from any wider cosmology (in 2e and to a somewhat lesser extent 3.x, all settings were generally sub-settings within Planescape, at least from Planescape’s point of view). Again, though, that does not mean you cannot mix Dark Sun with other settings – it just means you have to be more careful about it.
Pantheons
For the most part, the pantheons are separate, though if I recall correctly, Points of Light and the Forgotten Realms have a fair bit of overlap. Eberron’s gods and the like are certainly completely separate, and Dark Sun... only kind of sort of has gods at all.
Changelings
I don’t know of any particular mention of Changelings in the Forgotten Realms or any place where Changelings are explicitly included in the setting, but they’d hardly be out of place if you wanted to include them.
The overall demographics of modern Forgotten Realms, ie. say the last couple centuries, seem not to have changed much over the various editions of the game. Since around -3000DR, when the human archmage Iolaum raised the first enclave of what would become the Netherese Empire, humans have been increasing in influence, while the dwarven and elven empires have declined ("Age of Humanity").
For individual cities, detailed statistics are available in Forgotten Realms Adventures (2e) and Forgotten Realms Campaign Setting (3e FRCS). Certain locations, like Evermeet or Luiren, are exclusively or mostly non-human (elves and halflings respectively); others are mentioned to have significant non-human populations like Lantan (gnomes). However most of the settlements on the surface of the continent of Faerun are predominantly human. You can get some of these data (even exact percentages) on the FR wiki.
If you are interested not in particular locations, but in the overall percentage, we can say that humans are the dominant species. In order to get data about the whole planet altogether, it would be meaningful to refer to a sourcebook that considers the whole planet as a unit, as it is observed literally from space: In the 2e game accessory Realmspace, the population analysis is summarized (page 18) as follows: "Human and humanoid races most prevalent".
Finally on the RPGnet forums, a poster with the nickname Handigar claims to have added up all the data from FRCS. Quoting from that post:
- Faerun's total sentient population is about 66 million, roughly comparable to modern Britain or the Roman Empire.
- Humans are the most common race, at over 80%.
- After humans, halflings are most common with 3.5 million, followed closely by Dwarves. Elves and Orcs are rare outside their concentrations.
Best Answer
Those ethnicities are specific to Faerûn; other settings have their own ethnicities.
As you correctly surmise, the Player's Handbook clearly defines the nine major ethnic groups as specific to Faerûn, that is to say the Forgotten Realms, while the Sword Coast Adventurer's Guide contains further information specific to that same setting, given that the Sword Coast is a place specific to Faerûn. The Imaskari, for example, are descended from the people of the empire of Imaskar.
While officially no one setting is the "core" setting for D&D 5th edition, in practice, the Forgotten Realms is given focus in the Player's Handbook, considering that its human ethnic groups are listed there.
However, other D&D settings have their own ethnicities.
For example, Greyhawk. The prevailing ethnic groups are the pale-skinned Suel, the golden-skinned Baklunish (who destroyed each other's empires in an ancient magical cataclysm), the Flan (natives to the Flanaess, the primary continent of the World of Greyhawk setting), the Oeridians (founders of the Great Kingdom), the dark-skinned Olman, and the river-dwelling Rhenee. None of the Forgotten Realms ethnicities appear in Greyhawk, although someone can canonically travel between those two worlds.
In Eberron, humans have varying skin, eye and hair colour, but the setting glosses over the exact details, and does not name specific ethnic subgroups. According to a comment by Eberron creator Keith Baker:
Dragonlance has its own ethnic groups detailed here including the Abanasinians, Arktos, Cobar, Ergothians, Horselords, Ice People, Istarians, Kazar, Kharolish, Lemishite, Nerakan, Nomadic Humans, Nomads of Khur, Nordmen, Schallsea Folk, Solamnics, Tarmak, Tarsian, Thenolite, Uigan, and Wemitowuk.