世界に友達を作りたい sounds to me like "I want friends in the world" (so the friends are in the world and you could make these friends through the Internet; the result of the action would be "I have friends in the world"). 世界で友達を作りたい sounds to me like you'd go to the world and make friends there. (The 世界で modifies the action 友達を作る, so you'd do this action in the 世界, not online.) (I would say 世界中に友達を作りたい/世界中で友達を作りたい to mean "all over the world")

Maaybe this is because... ~~に is used with the verbs like いる、ある、存在する、住む (to be, to exist, to live), while ~~で is used with action verbs? So I think the 世界に indicates where these 友達 will be, and the 世界で indicates where the action 作る will take place.

世界に料理を食べたい sounds incorrect. 世界(中)で料理を食べたい (I want to eat dishes in the world / all over the world) is grammatically okay and would mean you'd go to the world and eat the dishes there. (And 世界(中)の料理を食べたい would mean you want to try dishes from around the world, not necessarily by going there so you could do this in foreign food restaurants in your country).

I think 大学に友達を作りたい is grammatically alright and would mean like you want friends who are in college.

世界で友達を作りたい sounds perfectly alright to me.

"a few more examples" >>> How about...

[財界]{ざいかい} / [政界]{せいかい} / [業界]{ぎょうかい}に(notで)コネを作る -- to have connections in the financial / political / business world　 自分の部屋に(notで)テレビが欲しい。-- I want a TV in my room. Compare: 秋葉原で(notに)テレビを買いたい。-- I want to buy a TV in Akihabara.