Lilmod,
The Pri Megadim you are referring to is not discussing a chiyuv for a woman to cover her legs/knees. He is discussing the issur for someone else to say krias shema in front of uncovered legs. Whether or not legs are different than other parts of the body for this halacha is a machlokes Rishonim and Acharonim (based on different ways of learning the Gemara in Brachos). The Shulchan Aruch and the Rema pasken (like the Rambam) that there is no difference. The Taz, the Pri Megadim, and the Mishnah Berurah hold that shok is different and more chamur.
The Pri Megadim may also hold that there is issur to uncover legs (I don’t know), but that Pri Megadim is not discussing such an issur. The Mishna Berurah implies that woman have a chiyuv to cover their legs until and including the knee.
I don’t have access to the other sources you have cited but you might want to make sure that they are talking what is required to be covered and not just what you can say krias shema.