Eh, some do, but not a majority. I think only about 30% really do. (Check out theauthoritarians.org for a dude that dedicated 60 years of psychology career to that)

I think it more illustrates the lack of imagination. People would fiercely defend the existence of their national borders, but for some reason they don't much like the idea of being fenced into their house, for example. I guess there's an arbitrary level of border that makes people feel nice.