Medieval European knights were soldiers, motivating by the same things that usually motivate soldiers – a desire for an honorable career, service to either their country or their overlord (depending on whether it was in the feudal era), etc. There were no more religious or bloodthirsty than any other soldiers in other times and places. Of course, we should note that traditionally (meaning, before 1948) almost all hagaddahs depicted the evil son as a soldiers. Certainly if you wouldn’t object to a purim costume depicting any other soldiers, why object to a medieval knight. Certainly some of us feel that soldiers are inherently problematic, but that isn’t a universal feeling among frum Jews.
The typical insignia of a knight would almost never be a cross. It would be the coat of arms of his overlord or country (sometimes the same things, often not). While there were exceptions, a picture of a mevieval soldier (either an infantryman or a mounted knight) with a large cross as insignia would suggest a crusaders. Crusaders were a bit less mercentary than most, and much more anti-Jewish than most. The cross is what should be be highly objectionable.