"Why doesn't he just become a knight?"
First, commoner. Common trope that only nobles can become knights, and even if he could become a knight, he'd have to deal with a bunch of elitist idiots, like the one who tried to kill him. If he became a knight, he wouldn't have risen far.
Second, his troupe. Even if he becomes a knight, they might not get the same option. Breaking up the troupe would cause issues for the people who weren't able to become knights, especially if they only knew how to swing a sword.
Third, if he and his troupe became knights. He loses all agency as a mercenary leader. Knights have to follow orders, even stupid ones. And, considering the sheep squad was dumb enough to wake up their assassination target, set the house on fire (While inside), and never thought to confirm his death... I'm guessing there are a -lot- of stupid commanders in the knights.