Our politicians are clowns, but they are our clowns. And they care about us lot more than EU clowns or U.S. clowns. So far it looks like bigger countries tend to have less efficient and more corrupt governments. If we make some kind of world government, that might turn incredibly inefficient and corrupt. And now you have absolutely nowhere to run to.
If you are US citizen, you can small tasting of your new world order by voting in the next election like some random person over the internet tells you. Are you willing to do that?
If you have less cohesion among voters, then you have less cohesion among leaders. Which leads to corruption and cronyism, as every leader thinks "fuck this country, I have to secure the benefits of my voters and myself".
I seriously think smaller is better in every respect.