I was wondering if there was any negative effects to a knight becoming rogue and maintaining that status for a prolonged period of time other than the obvious financial implications.
Apart from finance, there is the implication that you can't recruit, ever. You're stuck with the unit you have. Once that is gone, you are vulnerable to bandits.
Another very serious implications is that, if captured, a rogue is automatically at risk of execution, even if he was not previously banned.