I don't think it's a desire to be led so much as a desire to be safe. We agree there should be an authority that takes from us the freedom to f.ex steal or to kill other people. The downside is, if we kill or steal - that authority might get us. The upside is, they should also get whoever kills us or steals from us and knowing that instills an incentive for people not to do those things.
When authorities break down and people get opportunistic, things often get out of hand and people are victimized.
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