Someone asked R’ Dr. Bernard Revel about having a diploma from a Catholic college, since it had a cross on it.
He paskened that in such contexts, the cross loses its religious significance and he cited the Rema that they don’t actually worship it, but it just serves as a zecher for them.
If someone dresses as a knight, I don;t see much that could be haalkhically objectionable.
Plus, it is said that the Carolignian dynasty has Jewish roots.