Each of the Knights has a different name. If someone reveals a Knight when I play a Jester, can I gain a Knight, or do I gain nothing since there isn't a second Dame Anne (or whomever) available in the supply?
The Golden Rule of Dominion is "do as much as you can".
If no copies of a card exist (e.g. because they've all been trashed) then no card is given out by a Jester.
Since Knights are unique cards, no-one gains anything when a Jester reveals one.
If Dame Jospheine is revealed, she is a Victory card,so that triggers the first text on Jester, and the player owning her gets a Curse.