They thought an earthly king would be more friendly towards their sinfulness.
One important thing to note is that the Law is impossible for born sinners to keep. It shows them up for the sinners they are, no matter how hard they try.
It takes salvation to give them an independent reason to care about what the Law speaks about.
It takes grace to receive a true king. And though grace cannot be earned, it also is not wasted. God does not throw pearls to swine. The Jews turned away from God’s law, and so did not deserve a true king. Then they denied their own fault and demanded a cover-up king. In other words, they doubled down on their sin. To teach them where that path led, God granted their request. As a result, they lost everything.
We cannot save ourselves, but God’s grace is ever present. But it does not follow us - we are to follow it. If we choose not to, that’s not God’s fault, but ours.
Eventually, the king WILL arrive, as another expression of God’s grace. Then all excuses end.