The problem is fairly simple, really. If we had a one-world government, where could you flee to if the government became too oppressive?
Governments are careful about how they appear in the international radar.
If there are no other governments to keep this world government in check, then it goes unregulated
No government should be so strong that it can't be kept in check by the others. I think that's very important.
And if the government doesn't serve it's people well, for whatever reason, then there's nowhere for people to migrate to, or escape to. The people lose that choice, and have no refuge.
Under a world government, we would all be prisoners.