It's probably wiser to run a Megacorps than a country.
* You're not limited geographically.
* You can exploit a wider population than your indigenous one [an option pretty much closed to nations, since the demise of colonialism]
* You're unlikely to piss anyone off enough for them to declare war on you
* Inflicting a talking paperclip or reCaptcha on an unsuspecting world are not technically 'Crimes Against Humanity'. So your evil deeds are less likely to land you in the dock in The Hague, than oppressing your people in other ways might.
Some folks tried camping on a sorta-island in Polynesia to establish a claim and got evicted by the King of Tahiti who sent some big guys to give them the beat down, bum rush, etc.
People tried to start micronations[0] with various rates of success (mostly non). The biggest hurdle seems tuning the ambitions and goals with the budget. Hard work with little to show for it.
Yeah, why take on the liability of running an administrative state when you can outsource that to a nominal democracy that works little different than American Idol and still reap 80% of the ownership economics.
* You're not limited geographically.
* You can exploit a wider population than your indigenous one [an option pretty much closed to nations, since the demise of colonialism]
* You're unlikely to piss anyone off enough for them to declare war on you
* Inflicting a talking paperclip or reCaptcha on an unsuspecting world are not technically 'Crimes Against Humanity'. So your evil deeds are less likely to land you in the dock in The Hague, than oppressing your people in other ways might.