As a side note, it is important to notice that despite whatever reasons spawned these wars, the 'cycle of hatred' is always the main factor for these wars. Peace always tends to be temporary, until some country or someone 'snaps' and brings about a new war. However they try to settle things and bring about peace, many people are never satisfied with this, since loved ones and comrades were lost to other nations. This always brings about tensions, and as time goes by and peace 'wears out' the smallest things can spawn new wars.
Regarding why Feudal Lords do not choose an overall leader, besides and adding to all that was stated above: they'd have to gather (the Five of them) and come to a conclusion as to who to choose. However, they'd then need the approval of all the Jounin from all the villages. Given the 'cycle of hatred' (that I've stressed a lot here) it would be very hard to have an overall Kage, similarly to the choosing of the First Hokage: this lead to displeasing from Madara's part, as he did not like it that a Senju was chosen for the position. However, never fear for Naruto intends to break the cycle. :P