How is government mysterious, exactly? Who doesn't understand how it works? Sure, but have you ever thought about the fact that government is not a thing? It is not even a "they" really?
It's more like a concept. It's this incredibly intricate latticework of systems. Interwoven with people. On all different levels, cooperating to make it work. From the President, and senators, all the way down to the workers building roads, or collecting trash. It doesn't exist, without all of that, and so far removed from the people who originally enacted it. People who just had these ideas of how we, as a society, should work together, for the greater good. For us, as a species, to best survive and flourish.. and that somehow takes on a life of its own, that we all have to figure out how to work within, just as if it were a physical system of nature.
It's something that happens, everywhere there are people. We've created these systems of cooperation, which grow more and more elaborate, as we carry them on, usually without question. Different people have had different ideas of what would work best, but really, we're all trying to do the same thing. Same as any other animal, same as any other life form. It's all about who just happens to have the better way of going about it.