That concept lies deeply rooted in the notions of 'courtly love' (as opposed to Courtney Love, who is beyond saving) that were at the heart of what we would now call 'romantic love.' The knight saves the 'damsel' by taking her, both in a literal sense, but also in a romantic sense, as what the 'distress' usually is (as opposed to the notion that basically everyone except the King in the Middle Ages was pretty much 'in distress') tends to be dad trying to marry her off against her will (for reasons of property not romance)
HERBERT: But I don't want any of that -- I'd rather--
FATHER: Rather what?!
HERBERT: I'd rather... just...
[music]
...sing!
FATHER: Stop that, stop that! You're not going to do a song while
I'm here. Now listen lad, in twenty minutes you're getting married to
a girl whose father owns the biggest tracts of open land in Britain.
HERBERT: But I don't want land.
FATHER: Listen, Alex,--
HERBERT: Herbert.
FATHER: Herbert. We live in a bloody swamp. We need all the land we
can get.
HERBERT: But I don't like her.
FATHER: Don't like her?! What's wrong with her? She's beautiful,
she's rich, she's got huge... tracts of land.
HERBERT: I know, but I want the girl that I marry to have...
a certain... special...
[music]
...something...
FATHER: Cut that out, cut that out. Look, you're marryin' Princess
Lucky, so you'd better get used to the idea. [smack] Guards! Make sure
the Prince doesn't leave this room until I come and get 'im.
Old Monty Python, by virtue of their exquisite British education, probably got closer the reasons of all this knight/romantic stuff in that movie then the people who played it straight.
Because, as it often turns out, the person the damsel was so in love with, turns out to be the knight - she just didn't know it till he rescued her. And, what is of value here is not the damsel (god knows, damsels in distress must have been like Starbucks, one every block or so) but what the knight does, which is take. Its all about the taking, be it damsels, land, Holy Grails, that the knight does, the power of a knight is to take (even to the point of Sir Lancelot - and he sure did, didn't he? - taking Guenevere from the King), and the best knights are the best takers. By instilling a sense of 'virtue' in knights, by rescuing helpless women in distress these stories sought to make legitimate a very expensive form of gang rule. It gives that act of taking some sort of 'holy' or 'sacred' context (all quests are of 'god') and because the entire deal is sacred - god himself ordains the king or other such mystical flim-flam: The Lady of the Lake, her arm clad in the purest shimmering samite, held aloft Excalibur from the bosom of the water signifying by Divine Providence that I, Arthur, was to carry Excalibur. (Which BTW isn't even parody, but pretty much straight out Malory, though where the reply is: strange women lying in ponds distributing swords is no basis for a system of government - that's straight up Python.)
The point of all those stories was all about the Divine Providence deal, not the value of one person or the other. They were just books and stories that made gang warfare OK.
And in any Medieval story I don't want to be the knight or the damsel, I want to be the king, as Python so perfectly remarked: He's the one that hasn't got ->-bleeped-<- all over him. Besides, the damsel does not have any intrinsic value, the value was all in her dowry. As the basic concept of a dowry goes to prove all in its own.