One can touch on there being a lot more monarchies than democracies historically, but on one hand, many fantasy worlds have modern institutions or attitudes plopped down, implausibly, in historical settings, and many readers would not bat an eyelash at such anachronism because they aren't aware that anything else is possible, and on the other hand, there's a lot more variety in government than people realize, and no, monarchy, democracy, and totalitarian dictatorship are not your sole choices; and on the third hand, the monarchies are often not entitled to the plea of historical accuracy because they are often not very historically accurate.
The historical inaccuracies, OTOH, are perhaps what makes the monarchy such a useful plot device. In real life, a monarchy exists only conditionally, with restraints on its powers -- sometimes in theory, always in practice. They can always kidnap you and slit your throat. But even in the simple scenario where your characters are frantically trying to get something done -- being able to appeal to the king can give you a long, hard plot with a straightforward resolution at the end. Because, of course, he's an absolute ruler and when you've convinced him, it's going to happen your way. Your characters don't have to be political geniuses to win the day, as long as the king is good and wise; they just have to get to him. Also, it allows much more drama in that a moment of decision will always beat out months of haggling.
Plus, of course, the restoration of the long-lost heir after generations and generations. Not going to happen, not really, but what a plot. Allows you to make your little orphan rise in the world. Appoints a logical person to go after the Evil Overlord. Lets you skip the sort of characterization required for plausibly rising to power in a democracy -- which would be incompatible with fantasy heroics. And it gives you a nice spectacle for the end: a coronation. And you can skip ove the politicking. . . . if you like. Some writers don't..