There is the presence of heathen in the millennium, it nowhere taught the entire globe in a state of obedient perfection (nor would a rod of iron be required, then),
Zechariah 14:17-19 And it shall be, that whoso will not come up of all the families of the earth unto Jerusalem to worship the King, the LORD of hosts, even upon them shall be no rain. And if the family of Egypt go not up, and come not, that have no rain; there shall be the plague, wherewith the LORD will smite the heathen that come not up to keep the feast of tabernacles. This shall be the punishment of Egypt, and the punishment of all nations that come not up to keep the feast of tabernacles.
There are other prophecies indicating such in the millennium, though not ready in memory at this time, but I could dig them up, if you like. Only, right now, gots sumthin' else pressin' ta' tend to!