Ah, that error message isn’t particularly intuitive.

OSM2World can be run in two ways: Using only the command line, or through the graphical interface.

The first mode involves specifying an input and output file as parameters. The second normally requires the --gui parameter.

For convenience, OSM2World will assume --gui if no parameters are specified. But if you specify any parameter at all, such as --config, then that convenience function will not kick in anymore.

tl;dr: What you want to do is probably

java -jar OSM2World.jar --gui --config conf