I'm not sure what you mean by level? Do you mean FOC slot? They don't take up a slot, and a single Knight can form an allied detachment, or up to 6 can form a primary detachment and you then need to nominate one as Warlord. It was specified that they are not a Lord of War choice. There have been references to allying with Imperial armies, so I assume all Imperial armies can ally with them and no one else.