Knights canont convert willingly. If you examine the files you cannot access the decisions as the Knights or the Papacy (Something I only realised when the Reformation happened and I didn't have the decision open...). So I had to resort to using rebels.
I'd always just planned to convert though. I liked the idea of the Knights disowning the Pope and going on a Crusade to claim the New World for the "righteous".
Right you are, my bad.