One thing the show was amusing is the Bastards, why would Kings go around having intercourse with mistress, why not do the Islamic and Chinese way and get yourself a concubine. Game of Thrones is based on England and Scotland which had Royal Bastards.
Simply put, because concubinage was not socially acceptable. The Church had invested several hundred years from c.900-c.1200 convincing the lay elites of Western Europe that their heirs must be born from a legitimate union between a man and a woman. Adding another woman in the form of a concubine would be an illegitimate union and thus the heir would be illegitimate (ie. a bastard). It was not impossible for a bastard to inherit, especially in certain tumultuous periods and regions, but it was, by-and-large, the case that legitimate heirs would be given preference not only by law but by wider society.
There's a BBC documentary on marriage on the iPlayer right now, I can't remember the name off the top of my head (and to honest I was dozing off when I watched it) but it was a perfectly accessible introduction to the topic.