So I think that Junsu is supposed to be Chronus, a Greek titan and Zeus's father in Greek mythology. The first setting seems like it could be Olympus (Greek-style building on top of a mountain). After hearing a prophecy that his children will overthrow him, Chronus eats each of his children that his wife has, but he misses one (Zeus) because his wife lies and gives him a stone instead. I think the gold liquid he's drinking could be ambrosia (the food of the Greek gods), but it could also be a potion made by Metis, the titaness of wisdom and a trickster. According to the myth, Metis (who is Zeus's cousin and later his wife) makes a potion, which she slips into fermented honey and gives to Chronus make him throw up, effectively releasing his children. In Orphic poems, Chronus is imprisoned in the cave of Nyx (the Greek goddess of the night) and dreams forever. Nyx appears very rarely in mythology, but is said to be very powerful. She is only ever really seen in glimpses and in shadows, so she may be the woman in the black dress that appears from time to time.

There's a lot of other stuff too, like the guns embedded in the throne (pointing towards whoever sits in it), which could mean that those in power always have someone waiting to shoot them down, which would fit with the lyrics. I don't quite understand the golden mechanical head or all of the mythical creatures and masks (maybe they have to hide who they really are since they're in the spotlight?).