Because they would have to look at her naked body, which would make her lover mad. Common sense
Any knight who values his job isn't going to half-ass it for a flaky sense of moral decency. & they weren't confirmed as lovers from what I saw it just looked like he was trying to hide her from something.
It's seemingly the lover of the marquess, hence potentially a noble for any person not knowing who the girl is. Looking at a naked noble lady could bring more problems, especially if there truly is nothing to be found in the end.
That's the only reason I can up with right now for them not doing their job. But sounds kinda weak, but it also was just a suspicion and no clear proof for their suspicion offered. So depending on who gave the intel and why they went there it may not be too unreasonable. If it was a more unreliable source that gave the info, they may felt more reluctant to risk trouble with a potential noble or even being the cause of some affair (in romance sense) seeing the light of day. Who knows who knows. ╮(￣▽￣)╭
I like your answer actually. The concept of nobility/rank being the core issue to the knights not properly concluding their search would at least give them a valid excuse to give their superiors. nice nice (๑•ㅂ•)و✧
more than reading the whole slowass, super generic storyline I wanna find out why she thought being naked would discourage the knights from looking under the blanket (though it apparently worked anyway)