I don't know about replaying "a level", but if you miss a knight, or they die, or they get transoul'd, you lose that knight for the rest of the playthrough. Then if you go into a New Game+, you get the chance to recruit them again.
It's different for knights that do survive that you carry over into the NG+, because if they die/become transouls before they're slated to appear, you actually won't get their key item on that playthrough because you technically already "got" them.
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