The knights in the Gallery are Consumed King's knights, not Cathedral knights, even though they have nearly the same drops. I suppose the cathedral knights are clad in red because of their allegiance to the church. As for the Consumed King's knights, I don't think they play the same role as their cathedral counterparts, Oceiros is an abomination, but not a monster from the deep. They don't chase intruders that are attracted by the repulsiveness of the Consumed King as the cathedral knights do, I think they simply protect their king and his garden. And, while the cathedral knights seemed to prevent deep abominations to escape, Oceiros is too demented to escape. This is not a theory, just a vibe I got with these guys.