The unconquered realms refers to the worlds which were unaffected by the Second Conquest of the demiurges.
After the demiurges conquered Throne, they developed sufficient technology to link countless worlds to Throne. This process involved two critical pieces of technology: the keys known as the Magus Gates and the the King's Doors. So while the keys grant one the ability to open and close the King's Doors, the doors themselves simply act as portals to various worlds.
Upon the creation of the King's Doors, the demiurges began the Universal Conquest under the pretense of bringing civilization to new worlds. Instead, many were subjugated and the demiurges' desire for power reached a tipping point, igniting the first Universal War and halting the Universal Conquest. The worlds which were not yet conquered are are now referred to as the unconquered realms.
With the Pact of the Seven Part World established, the Seven became free to resume the conquest as they wished, within their own territories. Mottom's empire in particular is only stable because of continued universal pillaging. Jagganoth has the fewest conquered worlds for some reason.