I do agree to, that in order to stop things from progressing or getting too crazy too quickly, or some character just flat outpacing everyone else, some limits might be needed for character creation and the types of knights we can pick.

A good way to possibly pitch this as a story is we are all vassals to a baron (the gm or co-gm) answering either a call to answer an ancient pact made with a particular imperial world or planetary governer, join a crusade to retake a subsector from orks.

Or we can be a mechanical aligned house attached to an exploratory fleet diving into an unknown sector in search of archeotech or hunting down a knwon heritek forge world or the remnants of a traitor Knight house