They live in Royalia.
The text on several pages of a german book called 'Sammelband 2017' suggests they can be called Filly Royales as well.
Like the Princess Fillies, the Royale Fillies are largely recognisable from their lack of distinctive features, but each character now has a unique symbol on one of their legs.
Also, likely as the figures have brushable tails, the Royal Fillies' art is more likely to have extravagant tail designs.
Story from MyFilly site
Follow the Filly Rainbow and you will find the most amazing magical Filly World called Royalia. Here lives the Filly Royale with beautiful tails in all colors that you can imagine. They live in families which have their own color of crowns with magical crystals. That is why the family is named after the crystal.
The most special is Princess Rainbow because she has a long, rainbow tail. She lives in the most fantastic Rainbow Tower. Here, Princess Rainbow invites all her Filly Royale friends to a grand ball. She sends out a magical crystal wand for hairstyling as invitation. Before the party starts, all the Filly Royale meet in the dressing tower where they style up their tails for the party. When they are ready, they walk over the rainbow bridge to the party tower. Every night, a hairstyling competition is held and Princess Rainbow gives the winner a special hairclip with one of her favorite magic crystals.
Come and celebrate with Princess Rainbow and join the Filly Royale magical world!
List of Royale Fillies
Cedric - One of main characters in the show.