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				 Hit the nail right on the head there. 
 
Gamleplay wise, it also allows me to restrict the guys who can lead them. +thematicness!
			
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 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.