A lot of people have given good answers explaining the personal union side, but I’m going to add in some commentary on the constitutional side.
Think of a board game like monopoly, it has a set of rules that are written down which tell you how to play.
Now think of a game like tag or Simon says. Somewhere along the way someone told you how to play the game. The rules and any changes (like turning tag into freeze tag) came from a person who created it.
Countries like the US are set up like the board game. There’s a set of written rules which tell everyone how the country is supposed to run. When America became independent they wrote their rules down. Sometimes they change them, but at the end of the day they’re all written down, just like a board game.
Countries like the UK, were set up like a game of tag. Somewhere a long time ago a king got enough support and power to control part of the modern day UK. The king had all the power so he made all the rules. Over time the area he came to control more and more land, gradually becoming King of England, Great Britain, the UK, Australia, and New Zealand. Over time other powerful people convinced (or forced) the king to let them help (advise) him on how to use his powers. Today, the King pretty much goes along with whatever his advisors (Prime Minister or other ministers) say to do, but legally all they’re doing is helping him decide how to use his powers.
When countries like New Zealand, Canada, and Australia became independent, they could have chosen to say “forget the king.” If they did though, the person who made the rules of how their country ran would be gone, so they would have to make a bunch of new rules and write them down board game style. When you do this, a bunch of people have a lot of opinions, often disagreeing with each other, about what the rules should be. Another easier option, was just to say, we’re going to keep the guy (or woman) who created the rules we’ve used since the beginning, but now they’re going to be our rules instead of the UK’s rules.
So tldr, they could have gotten rid of the king or queen, but it would have created a bunch of headaches on top of the headaches that came with separating from the UK.
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