Note that I haven't played/watched/read any other Type-Moon stuff.
The main strength of KnK is its absolutely amazing production values. Animation, music, visual design, atmosphere, I've never seen or heard anything so beautiful in every possible respect.
The main weakness of KnK is its very uneven pacing, with much of its runtime consumed by scenes of lengthy conversations in empty rooms, usually offering little development to the plot or characters. In addition, while I found the themes explored interesting, a lot of the discourse on it was pretentious or meaningless.
Of the films, #5 (Paradox Spiral) is head and shoulders above the others as my favorite. #2 & #4 are also good. The rest swing from interesting to tedious, but are overall fairly decent, except for #6, which feels like something from another series. Most of the films aren't strongly connected, and in fact they occur out of chronological order, so feel free to watch any of them.
Also
>Magical Attack Schoolgirl
KnK rarely takes place in a highschool setting, and doesn't feel at all like a magical girl show. I would describe it more as hardboiled noir mixed with paranormal horror, with an occasional dash of (distant and dysfunctional) romance.