Well, for one thing, Switzerland did not join the UN until 2002 (see Eda.admin.ch/eda/en/home/topics/intorg/in.html)

Moreover, while Switzerland has not been in a way since 1815 and is certainly oriented towards peace building international policies, there is no guarantee that it would remain neutral in all future conflicts. Neutrality is only meaningful when defined in the context of a conflict.

When setting-up the UN, one of the primary goals of it's founders was to prevent a re-run of the American Isolationism that was seen during the early stages of WW2. Physically locating the UN buildings in the USA had both symbolic and practical benifits when veiwed from this stand point. The symbolism should be obvious, but the practical benifits are more hidden and generally have subtle, "soft-power" aspects to them.

While we think of the UN as being in some sense neutral, during WW II, the Allies (including Russia) were sometimes referred to as "the United Nations". Neutrality and non-engagement along Swiss lines was not really what they were aiming for.