User blog comment:B214/Question and Answers 3/@comment-4547267-20140720022758/@comment-1359322-20140721102101

As mentioned in Volume 4, once a Reincarnated Devil reaches High-class, they just need to go see any of the Maou to receive their Evil Pieces, and they already become King, there's no King Piece whatsoever involved.

For starters, as mentioned in this part of Volume 4,

"Well, there is a rule where they have to come participate as the piece of the Master in battle who they’re at the same level as. In devils, for the master, the fact that they are their families devil never changes. For instance, let’s assume I become a 'King' in the future, for Buchou’s game I shall still be a 'Pawn'."

Issei would still be a Pawn to Rias, if they go and create a King Evil Piece, it might mess up the Pawn Pieces, so King Pieces doesn't exist, only the position of King exist.