While it is a bit strong to say that a world government is "bad" per se, I could well argue that one would be ill-advised. Mainly because with a world government, power is centered in the capital of the government so to speak. And those within the capital making important decisions are going to be less knowledgeable about what they are doing. After all, being mere mortals they cannot know whether a law they pass might work fine in one area, but terribly in another. Why? Because of local customs, things that are unique to a given community, things that set it apart in ways that are special and reflect the values and culture of its many inhabitants which make up the community at large.
One might argue that those in power could have representatives from the various communities, those who are familiar with their local values and traditions meet in such a world government. But would that really be successful? To look for an example of why such a system would be largely faulty one needs to look no further than the U.S. Congress. Do Congressmen look out for the needs and values of their own communities first and foremost? Occasionally, yes, but the far more common case is that of the corrupt politician making deals in an attempt to line his own pockets, not to mention those of his family, friends, and "business associates".
But why would this be less of a problem with regional governments? Well, for politicians far away from home, there is an added since of security to their work. While they might occasionally get a threatening letter, few, if any, people will take the time and expense to travel the long distance to the capital in an attempt to make their voice heard loud and clear. Especially not those who are not "interested" in politics.
But at a regional level, a different story unfolds. What was once an inconvenient trip that you can't take time out of your busy schedule for now becomes a short distance to the next town over. What was once boring political talk by television hosts becomes juicy gossip, spread by family members, close neighbors, and of course, the town "lunatic".
I ask you straight: which scenario will provide greater accountability and standards that must be followed by political leaders?