Can't expect much from this but still. Wondering how Naoto taking her virginity will help the king in any shape or form. He might get devastated but he won't leave begore bashing the king's face in first. We have seen he is capable of that.
The king’s main safety net is the “you can’t harm me” command. With that Kazuha and Naoto can’t attack him directly.
Having both of them have sex behind Kenji is just extra safety measure. Unlike NPCs, his power can't completely influence players. On most people, he uses NPC to offer a “motivation”.
Naoto and Kazuha obviously realise he is enemy and will try to backstab him somewhere, so he need extra assurance with this blackmail material. “You don’t want to hurt Kenji with him finding out what the two of you had been doing”. Even if they told Kenji and he killed the king, it still doesn’t undo what they had done even under mind control. So, both of them will likely try to hide the fact from Kenji.
And the longer it goes, it’s like “you’ve lied to me, what else you might have been hiding from me”, trust is hard to regain.