The comfort of heaven is no comparison to the freedom of being king. Enjoyable things, like candy, are only enjoyable in small quantities. If all you've ever eaten is candy, you'll soon find it undesireable. It's like eating the same brand of cereal over and over. Even if the cereal is the best in the world, you will eventually get sick of it, and want something new. If you're stuck serving in heaven, no such luck. With no one above you in hell, you can have the occasional pleasures that make life enjoyable, even if everything else sucks right away.