Shanks has canonically a good intelligence on taking informations (The crew had reports about Kidd and Blackbeard) so maybe he knows something,but maybe also not because one thing is to take informations about pirates,and another thing is to get informations about the World Government. It also depends on how famous are Holy Knights around the world. If they are famous,by the way,its a bullshit that we never heard about them until recently.
I lean towards Holy Knights being Shichibukai of WG. Amongst them there should be a big spread of power level with the strongest capable of ascending to Gorosei. Fuji or Green Bull should have been former members but not the strongest which would indicate the WG absurd strength in depth. Nami will have heard of them if they are a known fraction so we might soon find out.