Knight is not an improved Saboteur. It does things differently. Saboteur hunts through the deck - it is not confined to the first two cards, and has no upper price limit. Because of this, the defending player is allowed to take a crappier consolation prize. Knights offer no such prize. You may as well say that Noble Brigand is better than Thief. Sure, he gives +$1 and gives out Coppers, but on boards with kingdom Treasures, you'll want the Thief. Thief is actually rather fun in games with multiple kingdom Treasures. If your goal is to destroy engine cards or Duchies, pick up a Knight. If your goal is to knock out Provinces and Colonies (potentially to scoop them up with Graverobber), pick up a Saboteur (or rather, lots of Saboteurs, because one Saboteur ain't gonna do shit).
This goes over to the thread about Rogue v. Knight. Knight is primarily an Attack. Rogue is primarily a trash-gainer, that has a secondary Attack to ensure there's stuff in the trash to gain, much like Graverobber's ActionExpand. Rogue is for stealing, Knight is for destroying.