I'm playing modern day Westeros. So far I have House Stark (Newcrest), House Gardener (Willow Creek), and, most recently, House Lannister (Brindleton Bay), all with their heads of house as kings of their respective home regions. I will gradually bring in the other royal houses that existed prior to the Targaryen conquest, and daughters of the main families will marry banner lords for their respective region if they marry NPCs, otherwise they will marry existing played characters. So far the eldest 2 daughters of House Stark have married lords Bolton and Umber, and the youngest daughter will be marrying the heir to Highgarden. The eldest Gardener princess married Lord Redwyne. The Targaryens will be last to join the game, of course. So yes, a fully fleshed out monarchy system would suit me very well!
I also have the Children of the Forest and an Other (white walker) in Forgotten Hollow but I got bored of playing them so they were relegated to unplayed sims in "my households" so I can track them.