Well, first of all this is Japanese company we are talking about, so the European style knight isn't a direct historical connection.

Secondly I would assume that it is because a knight, in general, is defined by service to some lord. In FF games you are usually the role of the outsider/rebel/adventurer in which it doesn't make sense to be a knight. If you wanted to have a knight main character you basically have to re-do the opening little bit of FF4 to have them abandon their lord and follow their own quest.