Who doesn’t dream of being royalty, right? Well if all your subjects are criminals and you’re still forced to entertain each of them all night long no matter how tiresome – and you have to do that all the time, it would get old really quick.
At least that’s my reading since I think Bulgakov is comparing the Margarita to a Czar and the damned to the boyars. They were slaves, after all.
Annushka is a folk tale.