[This is in response to a question concerning just what the style used by characters such as the Knight of Lemonwood or the Knight of Griffin's Roost meant after receiving some Heraldry-related information.]
As I see it, the title "lord" -- when used formally, and not simply as an honorific --conveys not only prestige, but certain legal rights as well. The right of pit and gallows, as they were once called, for instance -- i.e. authority to hang people and toss them into dungeons.
A landed knight has rather less prestige -- a lord outranks a knight at feasts and tourneys, for instance -- and also somewhat lesser rights.
But certain landed knights, of ancient houses, with extensive lands, and large strong castles, may be lords in all but name. These uber-knights may actually be more powerful than many smaller lordlings, so there's an overlap. Their peculiar status if often reflected by taking a style that incorporates the name of their castle, such as the Knight of Ninestars.
Connington is a special case, and you have the essence of it. Details are made clear in FEAST FOR CROWS. When Jon Connington was defeated at the Battle of the Bells, Aerys exiled him and stripped his House of all its lands and wealth. After the Rebellion, Robert restored the castle to a cousin of Lord Jon's... but only the castle, and some small grounds around it. The extensive Connington lands were parceled out to others, and the house's wealth remained in the treasury. Nor was Robert willing to recall Lord Jon from exile, since he had been among Prince Rhaegar's closest friends. Thus the Conningtons were once great lords... but Red Ronnet, their present head, is simply a landed knight, the Knight of Griffin's Roost.
Somewhat the same sequence is true of the Merryweathers of Longtable, by the way, though in that case Robert was prevailed upon to restore the lordship as well as the castle. Even so, the present Lord Merryweather is nowise as rich and powerful as his grandfather, the old man who served as Aerys's Hand after Lord Tywin and before Jon Connington.