I think you are right. I couldn’t check the King’s Quest Companion, as I haven’t the 4th edition. But that is fictionalised, so I doubt it may be considered as a source.
It isn’t true in any case that KQ6 names the dead knight by that name, though. I just checked, and no name is mentioned.
The writing on the gauntlet suggest indeed that your interpretation is right (“LIKE Sheherazade”).
“Flesh may cross the portal,
and seek its master Death.
Flesh may go where Death has trod,
and challenge, like Sheherazade,
He Who Reins Beneath The Sod,
to spare a mortal’s breath.”
Another clue might be that official hint book by Lorelei Shannon, which lists the characters with their names or description for each environment (like The Undead or King Caliphim and Queen Allaria), doesn’t even mention the dead knight in the list of characters (p. 54), and speaks elsewhere only about the “dead knight” (p.56).