The Holy Knight's emblem is a necklace with a pocket watch which has a sword engraved on it. It's given to you personally by His Majesty himself and this would be the proof of your status as a Holy Knight. With the title of Holy Knight you shall receive the same level of authority as the hero which can be frightening even for Lugh because you can take almost all the reckless decisions you want. The hero’s authority is a lot to take in.
Actually, the Alvan Kingdom has one Holy Kight, Lugh, who has been given this title by his Majesty in the throne room in the castle during a big ceremony following the incident with the first demon to appear in the academy. It was Lugh Tuatha Dé's award for finding the demon and leading the hero to it in the midst of that chaos. Not only that, but also because he defeated more monsters than anyone else, including the hero himself. Although he is not a hero, his strength and accomplishments are on par with those of an actual hero, that's why he was granted this title. This marks the birth of a young champion. This is the gospel from God as stated by the King.