Mercenary companies are usually little more than bands of low-level thugs. This one is a much more sophisticated organisation, with its own history, regulations and culture.
King dresses as a commoner occasionaly and makes his way through the town. It is an unknown occurance so nobody expects it. This time he is mistaken for a thief and jailed. Not wanted to reveal himself, and always curious for the experience, he allows himself to be arrested. PCs also get arrested for something, probably guilty but pay a fine. How they act towards the 'king' could greatly change how their first meeting will be as the players always meet the king at some point.