What do knights have to do with making a robber go where you want and steal from your competition for you? Are they all corrupt knights in league with the same robber?
Thematically, the knight is maintaining order by chasing away the robber from your lands. Mechanically though, if knights could only move the robber then developing and activating knights wouldn't be as interesting and worthwhile, so you get to steal too. Which means thematically, the robber... sends you a gift for not jailing him instead?