I love directions in this game.
"[Rodrick, the Chaos Knight] He lives by the old banquet hall to the north."
Northwest, and unless he's levitating or invisibility, he's not living there. Directly north is the stairs down. But I guess there is the implication that he's not telling you to go straight north.
"If thou wishest to become a knight, thou shouldst go south of our domain and talk to Dorna, our leader."
We're in the southernmost part of the map. South of here is out of the dungeon. If I could go there, I wouldn't be talking to you right now.
I'm sure I'll figure it out eventually, but I'm really starting to think poorly of the NPCs in this game.