Providing the cavalry force that the Empire sorely lack, they act as medium/heavy cavalry. Using javelins for medium range combat, they are a threat to even heavy cavalry at range. As only noblemen can serve as the Empire Knights, they are not numerous. Using the Empire Broadsword for close combat, they are no more than Legionnaires when dismounted.
It's worth noting that, aside from the Pendor Kingdom, the Empire fields what is arguably the second-best array of knighthood orders, having access to the fearsome Shadow Legion Centurion, that possesses the durable Ironbred Stallion and melee capabilities on par with Hero Adventurers, and the vicious Immortal with his trusty zweihander and 420 weapon proficiencies that serve as essentially armored empire gladiators, the Order of the Phoenix and their excellent melee prowess, and the Shadow Wolves, who at least exist. With all of these being trained from the Empire Knight, it's a good idea to gather a group of them.
Gathering a group of Empire Knights is also notoriously easy, due to the fact that a level 10 empire nobleman advances to only a level 15 legionnaire recruit, and therefore is much easier to train and level, meaning you will have a much easier time amassing and replacing empire knights than say, Sarleon Knights, although the nobleman troop tree wont be very effective in combat until promotion to an empire knight. It only costs 40 denars to upgrade a legionnaire recruit to an Empire Knight, though the ease of promotion is tampered by the fact that the Empire Knight is outclassed by the cavalry of every other faction, save the Fierdsvain. The strength is in their numbers, not their prowess in battle.