The store sales clerks in many cases wouldn't know how to load or fire a muzzleloader, let alone what is best or easiest for them. All a lot of them are nothing more then parrots.They listen to knowledgeable people discuss their black powder guns, and BOOM!! instant expert.
I was once in a Wal Mart where a woman was about to purchase a CVA Bobcat sidelock .50 caliber as a gift for her husband. The clerk was telling her she needed some pellets, #11 caps,sabots, and loading jags, etc.. I then interrupted and explained to her about the rifle (since I own one of them too). Needless to say the clerk kinds of stood back and listened for a while. Now I am not saying some of the things the clerk said would not have worked or went off in that Bobcat. I just think her husband might have been a little disappoint on his first trip to the range and they could have got better performance and accuracy other (and cheaper) ways.
Since you have an American Knight USA and you got such a good deal on it, I am guessing it is an older model. Many of the older models would have a 22" barrel and a
#11 percussion cap ignition (check that aspect of your rifle). Unless it has been converted over to the 209 primers. Either way, that little Knight is a great shooter. If it is a #11 ignition, while it will fire pellets, it will not fire them consistently in all kinds of weather. People with 209 ignitions have learned the hard way, that certain primers work better then others. Some 209 primers failed in certain weather. A 209 primer has much more ignition power then a #11 cap. For that reason alone, if this is a #11 ignition then use
loose powder. That is an easy question there. If it is a 209 primer ignition, I'd still use the loose powder.
Also I have a Knight Wolverine LK-93 which is the next step up from the Knight American. Mine also has the 22" barrel and the #11 ignition. One of the favorite loads out of the rifle is 80 grains of Pyrodex RS and a 240 grain XTP. Try making a 80 grain charge out of 2 fifty grain pellets or even 30 grain pellets. Now you ask, what's easier, dumping a little powder into a measure and then down the barrel or sifting throughdifferent pellet sizes to make up the load you want?
Get some loose powder like Pyrodex RS or Triple Se7en 2f, a see through plastic powder measure with a cut off funnel at the top, the right kind of caps or primers, a short starter, a capper, and some T/C Mag Express XTP's in 240 & 300 grain. Also the 250 grain Shockwaves. One of those three should produce good groups out to 100 yards. Start your testing and learning your rifle with 80 grains of powder and a projectile at 25 yards. Shoot a three shot group, and basically work your load up from there.
You have a great rifle there. And you stole it. You should be ashamed of yourself (an very happy at the same time..

) That little rifle is one of the best meat and potatoes rifles out there. It will do it all once you learn it. They work great in tree stands, stalking, and don't let that 22" barrel fool you. With practice, it will shoot just as far as the 28" barrels most the time.
Also welcome to the forum. Keep us posted as to how your rifle works for you, and if you have any questions, these guys here are great about helping you out.