Strictly speaking, propagating a Knock Out rose is illegal. This plant, as well as many other roses and perennials, is patented. Companies patent their plants in order to protect their research investment. Understandable, since it takes years (and lots of money) to breed and market a superior plant.
I'd prefer you buy a Knock Out at a nursery. In the future, examine the labels on plants you buy to see if they are patented. You'll typically see words to that effect or PPAF (Plant Patent Applied For) on the label.
Many older roses are not patented and can be propagated with the instructions at
Neal K, the knock out roses are inexpensive compared to other prolific roses so I would just buy more. In Florida we are buying them because of their disease resistance and ease of care. I see them all over my neighborhood. Walter R is correct.
Any time we propagate a plant, tree, bush, etc that is copyrighted or patented we are engaging in illegal activities. Sorry.....
I don't think it would be illegal at all if the results are for your own enjoyment in your own garden. The illegality would arise when/if you sold the resulting plants.