Because killing a member of a royal family is an attack on the government, and an attack on the government is an act of terrorism. In a monarchy, the head of state (king, queen, emperor, sultan or whatever) is the physical embodiment of the state (hence, Louis XIV comment, "l'etat, c'est moi."). Therefore, logically, all members of the royal family who are in line for the throne -no matter how distantly- are also physical embodiments of the state. This is why the assassination of the Arch-Duke Franz Ferdinand was able to touch off WWI, even though he wasn't heir to the throne: an attack on him was an attack on the state. And also keep in mind that the Saudi conception of royalty is in line with that of England in the 1100's (pre-Magna Carta) and it all makes a lot more sense.