Right from the beginning, the windhover reminds the speaker of something royal. It seems so regal and so proud. The speaker seems to think that the bird is a kind of king of beasts. But the windhover isn't royal because he's bigger or more dangerous than other animals (like, say, The Lion King), but because of his amazing skill at harnessing the wind and riding the air. Royalty based on merit instead of on inheritance… could Hopkins have been trying to make a political point?
Line 1: The word "kingdom" is broken up across two lines. This is partly to make the syllable king- rhyme with wing (4)—see "Form and Meter" for more on that—but it also has the effect of drawing our attention to the word king within the word kingdom. And since the speaker goes on to describe the metaphorical royalty of the bird, that makes sense. When a poet breaks a grammatical sentence across two lines, it's called enjambment. But here, Hopkins is breaking a single word across two lines—it's like enjambment squared.
Line 2: "Daylight's dauphin" repeats the D sound—more alliteration. The alliteration draws attention to the word "dauphin," but what is that word doing there? Hopkins often makes up words, as you have already noticed, but here, he brings in a foreign word. Dauphin is the word the French use for the crown prince—in other words, for the prince who will one day be king.
Line 11: In the words, "O my chevalier," the speaker apostrophizes the bird, which means that he addresses it directly, even though it can't answer him. He also calls the bird a chevalier, which is a French word for a knight. This may connect back to the word "dauphin" he uses to describe the bird way back in line 2.