Why is it "your Majesty", but "my Lord"?
First, some etymology. I'll try to keep it short.
Lord has deep Germanic roots. Etymonline says:
M.E. laverd, loverd (13c.), from O.E. hlaford "master of a household, ruler, superior," also "God" (translating L. Dominus, though O.E. drihten was used more often), earlier hlafweard, lit. "one who guards the loaves," from hlaf "bread, loaf" + weard "keeper, guardian, ward."
Majesty was borrowed, ultimately from Latin and together with its meaning. Etymonline says:
c.1300, "greatness, glory," from O.Fr. majeste "grandeur, nobility," from L. majestatem (nom. majestas) "greatness, dignity, honor, excellence," from stem of major (neut. majus), comp. of magnus "great." Earliest Eng. sense is of God, reference to kings and queens (late 14c.) is from Romance languages and descends from the Roman Empire.
Originally, during the Roman republic, the word maiestas was the legal term for the supreme status and dignity of the state, to be respected above everything else. [...] It was first assumed by Charles V, Holy Roman Emperor, who believed that, as an emperor, he deserved a style greater than Highness, which had been used by preceding emperors and kings. Soon, King Francis I of France and King Henry VIII of England followed his example.
What I take from all this is:
- The word lord, originally and all throughout its history, referred to someone, a person (or a personification of God, as opposed to God as an abstract concept). It's only natural to refer to my guardian, my ruler and my master as, well, my guardian, ruler and master rather than your, his or her guardian, ruler and master.
- The word majesty, on the other hand, always referred to something, a concept, a trait that was attributed to someone — much like highness, honor, and excellence. When I am talking about a king (or a judge), I attribute majesty (or honor) to him rather than to myself.
Explaining "my lord" is easy, "my lord" is the person who is the lord of me. "Your lord" would be the person who is the lord of you rather than me.
The function of the possessive (your, her, his) in "your majesty" or "her majesty" or "his royal highness" seems to be to indicate that the noun indicates a person, but this is some kind of archaic or rare usage.
A little late to this party, but it seems to me that no-one has made the most important point: namely that it's "my Lord", but "your Lordship" -- the point being that one refers to the individual directly ("my Lord"), and the other refers to the same individual obliquely ("your Lordship"), and is a kind of metonymy.