Elf Tensei Kara no Cheat Kenkoku-ki Tsuki ga Michibiku Isekai Douchuu (series is on indefinite hiatus though): MC technically isn't, but most of his subordinates are
I'm currently reading a story called Iron Teeth. It's about a goblin. He hasn't started building a kingdom, but I can definitely see it going in that direction.
This one is made into an anime and licensed and published in US and several countries: Twelve Kingdoms. Each volumes has different MC, but you can follow Yoko's story in Volume 1, Sea of Shadow, and Volume 4 Skies of Dawn. I'm not sure if you'll understand Volume 4, where the kingdom building is, without reading vol 1, her journey to becoming an Empress, but you can try. Actually, vol 4 is more like there's an established kingdom, but it's rife with corruption, so it's Yoko's journey to get purge those evil minsters and save her kingdom. I would say it's more action than politics though. Yes, there are monsters, and they ride in the shadows. And they talk. And they can possess a human body depending on the type. And they can choose who to rule the kingdom, the Kirins (Asian unicorns?). Yes, I love this series. Since it's licensed and even made into an anime, you know it's going to be good!