So if I told you to address me as a King, you'd do that too?
These other replies miss the mark. It's not that, "calling a commoner a king is inaccurate, whereas a biological male could accurately be called female". Because that just brings you full circle back to arguing over whether biological gender and gender "identity" can be separated.
The more practical answer is that it doesn't hurt anything, and being a dick about it just makes you a dick. If you told me to address you as Lord Commander of the Night's Watch, then I might privately harbor some doubts about your mental health. But I'd likely do it just to make you go away, m'lord.
I would not, however, feel bound by any commands to defend The Wall or anything.