Downgrading this to minor since there is a workaround (reverse the joint direction so that the world is the parent of the joint). It is still up for discussion whether the world as a child of a joint should be supported.
I think it should be allowed. This occurs naturally for example if you have a loop (like a 4-bar linkage) that starts and ends at world. A simple way to enter that in parent->child order is: world->link1->link2->link3->world, in which the last world is a child unless someone is thinking very hard. Simbody has the right joint (mobilizer) types for this (every mobilizer can be denoted "reversed" in the tree). We probably just didn't hook this up properly in Gazebo.