Good question! I think a lot of English speakers find this weird as well.
Basically, it's not respectful to call a king or queen "him" or "her" (or "you"), the way you would refer to normal people. Instead, you refer to a *quality* of the royal person -- the person's "majesty." Instead of talking about the king directly, you talk about the "majesty" of the king. So when you refer to the king, you don't say "him." Instead, you say "his majesty." If you're speaking to the king, you say "your majesty." It's as though the king himself IS the "majesty" of kingship.
We also use a similar formula for speaking to judges. We call a judge "your honor" (not "you").
I think it's not too different from Chinese, since in Chinese you also don't refer to an important person (like an emperor or judge) by saying ä½ . Instead you use the person's title. In English we don't use the person's title, but we use the name of a respectable quality that fits the person's status or position (such as "majesty," "honor," or "lordship").