According to Wookieepedia, "the Knights' true loyalty was to Sidious". Interestingly, though, the article also states that they helped overthrow Sidious previously, indicating that they have a rogue streak. The first detail would indicate that Sidious had them working on other things when he did not need them with Kylo Ren. The second would suggest that they were more independent of the First Order (as they served multiple masters and fought on various sides over the years), so they did not always go with Kylo (similar to how the Inquisitors did not always stay with Vader, but were technically his personal Jedi-hunting team).