I think there is some idiom for this like "It ain't easy being king" or "it's not easy running the world". Can't remember. Thanks.
"It ain't easy being king" is one that I've heard used. Presumably it's a reworking of "Uneasy lies the head that wears a crown." from Shakespeare's Henry the Fourth, Part 2 Act 3, scene 1, 26–31
Canst thou, O partial sleep, give thy repose
To the wet sea-boy in an hour so rude,
And in the calmest and most stillest night,
With all appliances and means to boot,
Deny it to a king? Then happy low, lie down!
Uneasy lies the head that wears a crown.
The phrase has also been altered to "Heavy is the head that wears the crown".