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Maintaining a bunch of small countries, which specialize into boost, develop mission control etc, is more efficient than one megastate. Direct investments are also more efficient in small countries.
As you develop your space economy, Earth becomes a secondary theatre and then you'd want a QoL of a large state so you do not babysit 10 little countries. Some factions also require you to control % of Earth population and that is done via unifications. IMO mega countries are endgame thing. I think reddit has a thread on how to do those.
And there is a bunch of threads here, not sure how relevant to the current version, which discuss IPs and best countries to do different things.
Obviously you want to keep those smaller nations around long enough, so that they can build up close to their mission control limit, before you merge them into a larger nation.
Creating giant nations will also allow you to control most of the world later in the game, EU/Russia + USA + Caliphate + China with all claims conquered gives you the entire world expect for south america and 3 provinces in india for an achievable cp cost. Doing this greatly reduces the income of the other factions and finally stops them from screwing up the entire world by running spoils everywhere.
only faction that do not need to control entire earth to win is exodus, everyone else have such condition (in some form).
Also, I'd like to argue that it can be done without Great Nations. Would be incredibly hard and likely tedious, but doable. Maybe stuff for a challenge?