Economies of scale, eventual ending of some unnecessary zero-sum games (a single government doesn't need to maintain much military, nor it will end up in an arms race), getting rid of nationalism, tying people's identity to the whole planet as opposed to an arbitrary subset of it. I don't really see the benefits of keeping national sovereignty. One could think that we should've grown past it already.
I'm assuming at this point we'll grow past the privacy thing as well, but I'm going to upgrade your argument to "if a world government decides to do something evil, the whistleblower will have nowhere to run", which is indeed a concern.
I'm just not sure if having a safe haven for whistleblower is worth keeping around pockets of people pointing guns at each other like we do today. Also, the "safe haven" is something a whistleblower gets for giving a gun to one side to point at another, not at the goodness of any government's collective heart.
How about the concern that the existence of a single government doesn't stop people shooting at each other, as indicated by, oh, say, the Syrian Civil War? Even in the optimal case where you somehow did achieve a one-world government that was democratic and benign (rather than resembling the average government) you would inevitably have groups of people thinking that this is a non-ideal government whose authority should be challenged. In the end you'd just wind up replacing all ordinary wars with civil wars. And the civil wars, instead of being confined to one country at a time, would rage simultaneously in all countries, always.
