Quantum mechanics predicts non-local correlations in spatially extended entangled quantum systems, and these correlations are empirically very well confirmed. This raises philosophical questions of how nature could be that way, prompting the study of purported completions of quantum mechanics by hidden variables. Bell-type theorems connect assumptions about hidden variables with empirical predictions for the outcome of quantum correlation experiments. From among these assumptions, the Setting Independence assumption has received the least formal attention. Its violation is, however, central in the recent (...) discussion about super-deterministic models for quantum correlation experiments. In this paper, we focus on the non-local modal correlations in the GHZ experiment. We model the introduction of hidden variables in the form of instruction sets via structure extensions in the framework of Branching Space-Times. This framework allows us to show in formal detail how the introduction of non-contextual instruction sets results in a specific violation of Setting Independence; a similar result is derived for contextual instruction sets. Our discussion provides additional reasons for foregoing the introduction of local hidden variables, and for accepting non-local quantum correlations as a resource provided by nature. (shrink)