Knights are royal guards and it is clear that the Holy Knights are referencing the "Templar Knights" of our real life world, who went on a holy crusade to spread christianity throgh europe, up until the middle south east. It is fascinating how Oda is mashing together different christian structures, all being reflected within Mary Geoise and the World Government.
I also think the Holy Knights may only really go into action once a Gorosei gets dispositioned to fight. Priests in medieval era's fulfilled the role of blessing the knights, that were going into a crusade. That's for priests who were sent out to the battlefield. They not only brought the spiritual blessings of god with them, but also medicinical knowledge and sometimes even supportive skills like cooking or other craftmenship.
But most importantly, priests were also capable of excorcising people that fell mentally ill and became "possessed".
It is because Oda created Cavendish to demonstrate a new concept of splitt personality and possession to us raders/viewers. And to be direct: This will be taking fruits right now!
As many things from Dressrosa foreshadowed the Reverie events, as build up, as herrings, as puzzle pieces - This makes us have a possibly different view on Cavendish from now on.
I believe that the former queen of Alabasta from the Void Century, Nefertari Lili, suffered from the very same possession as Cavendish did!
Lili knew she was sick and maybe there was nothing that was able to cure her and she couldn't take it anymore. As a result she neither was able to join the the 20 kingdoms in unity, nor she was able to return to Alabasta. She had to settle down and maybe life off her life to her destined "end".
This might be a rough plug and unoriginal, but she indeed could have found Amazon Lily during that time.
At this point I can imagine that holy figures, priests of the ancient times tried to excorcise her, but they failed. Maybe Lili's other half won the clutch, the dark side took over the light from Lili and Lili vanished for ever into nothingness. Something that theoretically could have happened to Cavendish if noone would "wake him up".
Imu is Lili's Hakuba and the darkness that took over her. Imu thus might not even be a human and this could explain alot. For example, why Imu lives for centuries, and why, the Will of D got corrupted to be splitt into a darkness and light equality.
I hope you guys have read my theory on Imu being Lili's Hakuba and the structure on the World Government.
This is a rough line of theories, but I am convinced that this is one of the most legitimate routes right now.
Have a nice day guys, love ya all! <3