We support a common police force because it makes sense that government has a monopoly on force. If private security forces did the job of police, that person or persons employing the private force would be a society unto themselves, not a part of the same society as the rest of us, and when conflict developed between their police and the common police (or the police of a 3rd party -- another private security force), then we would be at war. In other words, you don't understand why everyone in society supports the police.