I'm afraid that the information your employer provided re: filing of tax returns
for employees working for international organizations did not go quite far enough.
The following quote is from
"U.S. citizens and green card holders pay U.S. taxes on their compensation while working in the U.S. They report their compensation as income from wages on line 7 of their Form 1040, U.S. Individual Income Tax Return."
You may claim an exemption for those wages based on your employer being an international organizations, but you would still have to file the tax return, show the wages on line 7, and then you may claim the exemption on line 23, but you must know the number of the Executive Order covering the international organization and should have some written evidence of your acceptance or designation by the Secretary of State.
Please see below, which is fromEmployees of Foreign Governments or International Organizations An international organization is an organization designated by the President of the United States through Executive Order to qualify for the privileges, exemptions, and immunities provided in the International Organizations Immunities Act. You should find out if you have been made known to, and have been accepted by, the Secretary of State as an officer or an employee of that organization, or if you have been designated by the Secretary of State, before formal notification and acceptance, as a prospective officer or employee. If you are claiming exemption, you should know the number of the Executive Order covering the international organization and should have some written evidence of your acceptance or designation by the Secretary of State.
Ultimately, you wind up at the same place, which is no tax liability, but your question was should I file a tax return, and the politically correct way to handle this is as I described above, to include your wages on line 7 of your Federal 1040, and then to exempt them on line 23 by quoting the # XXXXX the Executive Order deeming the World Bank to be an international organization.
I understand that we do not live in a perfect world, and if your employer will not issue a W2, you may use a substitute W2. See below: Substitute forms
I hope this additional information helps