Dagenfall is the location where the Dagenfall series takes place. Ironically, despite multiple videos featuring Cellwind and Jack, the main protagonists of the series, the realm of Dagenfall hasn't been visited at all yet, only being set up in Dagenfall: Orgins.
Despite this, Dagenfall is implied to be a very large place, with multiple races and locations to visit, such as the Gorons, and the Ice Serpent. It is currently besieged by an evil force led by the Skeleton King, and thus Jack is needed to teleport to Dagenfall, go on a really long and convoluted quest, and rescue it(until he gets replaced by Andy, that is(whom he kills), and then promptly gets killed by Cellwind for being an asshole).
Dagenfall has a king, and therefore is a monarchy, most likely still in medieval times as there's no mention of modern technology. There is confirmation from the creators however that Dagenfallians are steadfast believers in the Three Generations of Punishment. Its current status is unknown, as with Jack dead in Dagenfall: Orgins, there is no one left to actually go and rescue it.