The "problem" with having an urban fantasy setting, is that so many people think that the world building is done. It's set in the world around you, what more building do you need to do?
If a reader is thinking that, then I think you've done your job. You've done such great world building that to the reader it comes across as totally believable. Good job!
If the writer is thinking that, there are either major problems with the story, or the writer is in for a rude awakening. Or both :)
I think the problem lies in the words "world building". It definitely gives the impression that you are making things up for this world you're writing about, doesn't it? But what world building really is, the goal behind it, is to make the world that you're writing about (real, imagined, or a combination of the two) both believable and invisible to the reader.
I guess (after some thought and many attempts at failed metaphors) to me, world building is like a bridge. It lets people cross into your world. You want them to enjoy the experience (where "enjoy" means, get out of it what they wanted to, whether it's supposed to be scary or relaxing), but you don't want them spending any time thinking about the construction process of your bridge.
Well, even that needs work, but still...
In the meantime, I'm writing this urban fantasy and it needs world building. Not just things like how magic works, but also things like "what happens when you put a dollar in the tip jar at the Cold Stone Creamery?" If I hadn't actually done it, I would never have known, and my book would have been short one less scene where that happens.
It's all about the research, or so I say as I head out to Cold Stone Creamery for more "research" :)