Maine's knight selection were never transparent. It was never just about power. Power was a bonus, but what was more important than others?
Prestige.
Reginald had a strange complex, he particularly loved it when his servants came from people of high status. It made the illusion that Maine was truly above anything else. This was why, most of Maine's direct knights consisted of quite renowned families. It made Maine's face look good.
When the other knights were of a noble pedigree or a rich civilian, Zenith Ahgren was a poor peasant who rose to his position just using his sheer willpower. He was also strong, so losing him will indeed be a bit detrimental to Maine.
However, at the same time, replacements for someone like him were aplenty and did not need to be fussed about.
This was akin to the lady's dying wish, since she will most definitely die in Palla and not even be buried intact. Thus, it could still be granted.