Going from Lord/Lady to King/Queen is with annexing territories. As with the other heroes, as you level up, you get a suffix added on, almost like a title. For Monarchs, it is "the Great" at level 5 followed by "the Illustrious" at level 10. So, if Bob has no annexed territories and is level 8, he would be "Lord Bob the Great." If he then annexed a territory, he would then be called "King Bob the Great." And I think I remember seeing something on the guide, but I don't remember for sure, and it could've been another site.