This is multiple things which all go together. It'll be like this...

• Rescued Knight AI enhancement
  This is several things. Make them respond to things like /attack (same behavior as currently), /fallback (stays close to you and only attacks when you do), /help (attacks any enemy which hurts you), and /here (Makes them run to your spot. They run to where you are when issuing this command, so it'd be handy to have them run into the candlelight while you draw away the Grimalkins). Make them use the dash ability, and maybe shield bash as well. And finally, make them run darn faster! If your being chased by a Grimalkin, would you really stop every second? If these knights are supposed to be injured, please show this in the animations or some other effect.
• Fail-able mission objectives
  This means that if you screw something up, you cannot complete the mission. While you can still finish the level, instead of "ADVANCE NOW!" it would just show something like "Mission failed!" and then "Return to Haven" on the button. This would go for a dead knight who you are supposed to rescue. Yes, this means that rescue-able knights could die.

  Things would have to be re-enginered a tad to accommodate for this. I'm thinking that somewhere it would show the rescued knights' energy, and with each death they consume some energy. (And use an energy revive.) When they run out of energy, they wouldn't get up anymore, and stepping on the elevator like this would cause you to fail. You could walk up to them and spend a certain amount of energy (like when reviving mechaknights) to revive them once. For each death from then on, you have to spend energy. This amount doubles with each revive and the base cost depends on the tier.

  Fail-able missions could apply to other things as well if used creatively. This could add depth and greater immersion in the plot. (Which is currently "Well, go to X, slay Y, and save Z." If someone else wants, they can make a new thread specifically on how you could fail at some of the current missions.)

• Trapped knights within the Arcade
  This would be a way to obtain Prestige outside of missions. These knights would appear randomly in certain levels, and could be rescued. They wouldn't follow you to the next level. The amount of Prestige gained depends on the Stratum you are in. It's a relatively simple suggestion in its own, but it could be expanded upon. (Which levels? How rare would they be? How much Prestige? I'm not going to answer these, though. There is already enough in this suggestion to chew on. Let's just say for the simplicity's sake that it is in balanced and proper amounts.)

I thought of this recently after the poor knight I was trying to rescue got killed for the 3rd time due to Grimalkin bites.