What they mean
Christ was accused by the Romans as being "King of the the Jews". Which he wasn't, even he denied it ("That's what you say", he replied), so why not take on that honorific later?
As for "Lord", it is my understanding that in feudal terms, a "Lord" was he that owned the land you worked, and in return, gave you bread to survive. Since the sacrament of bread and wine at the Last Supper is essential to their faith, that fits.
And yes, we are all stark raving mad. The lot of us. Try spending time in the Bible Belt. I'm there now, and I can't drive anywhere without seeing a ten foot cross on the side of the road emblazoned with variations of these and other platitudes.
(disclosure: I'm a recovering Catholic, working through the steps.)