Palaces and buildings within your government district are effected by Autocracy and its legacy policy.
You can't get more palaces or government districts as they get destroyed when you capture another civ's city/capital.
Early game, you can get +12 yields (2 food, 2 production, 2 culture, 2 faith, 2 science, and 2 gold) for each Palace/government building when in Autocracy and using its legacy policy.
Those bonuses can quickly get settlers out or districts up but those yields get less noticeable as the game progresses.