Many concubines are kept by His Majesty (5)
I believe the answer is:
harem
'many concubines' is the definition.
(group of women or concubines)
'are kept by his majesty' is the wordplay.
'kept by' means one lot of letters goes inside another.
'his majesty' becomes 'hm'.
'are' put within 'hm' is 'HAREM'.
(Other definitions for harem that I've seen before include "Set of wives" , "Living quarters of wives in a Muslim household" , "Separate women's quarters" , "a number of wives" , "Collection of wives, concubines and female servants" .)