Knights are like helping hands you can request from the members of your Alliance. While Knights don't possess any particularly special magical powers when used in exploring Places of Legend (though they are the only ones who have a chance of finding Royal Coin), they are nonetheless important and useful, especially when you are at lower levels, and have fewer Heroes to go around.
One of the best ways I've found to use Knights while analyzing the probabilities for each Place of Legend, is to fill out a party when you don't have quite enough heroes to fill every yellow stepping stone. Especially for Friendship Arena and the Flower Tower, which are among the best places to source Golden Vault Padlocks, but only when you have a full party going on the adventure. So if you have a blank stepping stone, and you are able to request a knight, make sure to fill out your party to have the best chance of bringing back a padlock!
So far as I know, the knight only gives us one quest: