Hit the nail right on the head there.
Gamleplay wise, it also allows me to restrict the guys who can lead them. +thematicness!
Yeah, grail knights should NOT be lead by anything other than damsels, dukes, and grail heroes.
You're right, I wasn't factoring in the standard bonus. So you can ignore what I said about the knight's morale... I think making the knights errant cheaper on resources would be slightly more thematic, but I agree that it's not necessary, and the errantry war spell will help a lot with the thematic feel of knights errant.
Making pegasus knights not cap-only seems like a good idea. They're should be rare, but if you have to choose between them and grail knights I think they're going to be a little too rare. Using high resources to keep their numbers down is probably a necessity though to keep the player from massing them.