Nope, I've given it to New Yevon most of my times through and had no problem following the steps to get the dark knight sphere.
Also, for Yojimbo, I equipped Ragnarok accessories on two of my characters to bring their MP cost to 0, and Ribbons (or Shmooth Shailings) on all three- if you have them. That way, if he performs Zanmato and you're already poisoned from an attack from the *#@! dog, you won't die right after the attack is over. I just did two Dark Knights and an alchemist with the "stash" ability, and had her keep chucking mega-potions on all three of the girls. :moggie: