Nah, I think it pivots around how much I care about the "world" as the game portrays it.
In Mass Effect, you visit many worlds, but care for none of them, because the "world" you're trying to save is the galaxy as a whole.
But even in that scenario, I'm not really there to protect the galaxy, I just want to kick the ass of the Rogue Spectre that's been screwing with me the whole game.
Heck, I bet many Americans would feel a greater impact from saving the USA instead of saving the entire world. Because it focuses in on something important to them. Of course, this probably wouldn't hold true for the players from all the other nations. The point is that the impact is already ingrained in the American player through a sense of nationalism, making "save the US" an easy goal to setup for the developer. (The TV show "24" built a whole series around this kind of attachment)
For other kinds of goals, I'd need a reason to care about saving the kingdom, country, world, galaxy, universe, etc. That kind of thing requires a long build-up period throughout the game using key events or interactions with important characters. Most of the time I think the main goal revolves around a personal issue for the player/main character, and rightfully so, since it's much easier to develop character relationships than an attachment to some abstract idea of a nation.
