Memory Sequence 9:
In the 9th sequence you will get the optional objective to save all 3 Concubines. They are marked on your map, just like all the other side objectives and collectibles. If you alert the soldiers near the Concubines they will kill them. When this happens you must restart the checkpoint immediately. There will be a red text in the top left corner notifying you when a Concubine has been killed.

Once you've safely reached a Concubine you must use the left stick to free her. The second one is the hardest. The first and last are quite easy.