I'm not sure if this is where it goes, but for some reason none of the Knights of the Nine have a Follow Me option... Basically, I did something similar to what was done here (also no answer):
http://www.uesp.net/wiki/Oblivion_talk:Knights_of_the_Nine#Can.27t_ask_the_knights_to_follow_me_anymore

Is there a way to fix this?

If you must know, I created a clone of myself, but I forgot to remove an ugly helmet from my inventory, so he put it on. It clashed with his outfit (Rainment of Arden Sur) so I killed him to take away the helmet, and then resurrected him, but then he wouldn't follow me any more (no option either). None of the other knights have the option either. I miss having a clone follower!