All perfect praise be to Allaah, The Lord of the Worlds. I testify that there is none worthy of worship except Allaah, and that Muhammad is His slave and Messenger.
Undoubtedly, names are most likely to have an effect on people, that's why in Islam great importance is given to them and people are urged to name with good names and are forbidden to name with bad names.
For instance, it is forbidden to give names that are exclusive to Allaah's Majesty. The Prophet said: "The most obscene name on the Day of Judgement in the sight of Allaah is a man who is called king of kings." [Al-Bukhari and Muslim] Imaam Muslim reported the above narration with the following addition: "There is no king but Allaah, The Almighty."
So the name 'King of the Worlds' is similar to the above, because the world refers to everything save Allaah, and it is only Allaah who has the kingdom of the whole world.
Therefore, you have to change your name, that is better in order to be on the safe side and be acquitted from sin.
Allaah Knows best.