I think telling/conveying a story in a single photo is really difficult. I don't think many of the intended examples here do a very good job of it. Not that they aren't good or interesting photos--just that I don't get a story out of them.
Okay--some of the portraits--you know there is a back-story to the person (hard life, whatever) but you don't get a sense of what that story is.
Most of the "set-up" scenes look, well, set up. So while I know there was a story the photographer was trying to create, to me it's a made up story and doesn't engage me.
But to me, the image above pulls me in--Who is she? Where was she? What is she going back to? Why did she leave? Why is she now coming back? Or is she headed to someplace new? When you stop to think about it, you realize it was, to some degree, set up. But then, it took me a long time to get out of the story to actually stop and think about it.
Again, not saying the other work here isn't good--just that it didn't make me wonder so many questions as this photo did.