Think about it, the UN will have a tax. That means they will have money. Money to buy weapons and armies and the ability to invade and police the countries under it's jurisdiction, this is a really bad idea. Once that happens then it will setup a power structure in the UN and they will be asked to 'solve' the worlds problems. This parallels federalism in the United states. World wars will in fact become World Civil wars.
While there is no Guarantee that this would happen, there is some pretty heavy historical precedent starting with American Federalism.