Sure, Einstein thought it was a good idea. I think it is evolving now, it can be hard to say at what point a level of international cooperation and integration and surrender of some national sovereignty constitutes  "a world government".
But it means people and institutions giving up some powers and all that comes with those powers. That only happens usually when there is some countervailing power.

Certainly one world government can be scary for the reason any national government can be scary, and even more so because it raises the question of how the abuse of power
by such a government, or those within it, will be checked. Pretty legitimate concern, but then so are the threats to our species.
I would hate to see further loss of diversity in human culture and genes, and in the biological world as well,  since I think diversity is essential for species survival and evolution. If everyone thinks its great to live on the beach,--- bam- one big tidal wave and we're a fascinating fossil record for future galactic explorers.

"Well,  Trzfash Dqiws, it looks like they were only a few mu arc seconds from reaching the singularity !"

"Don't make me snorkle bitz Boofataz.  Look at the tiny size of their craniums - no way Boo. I'd say they were lucky to have a free lunch as long as they did.."