I also have the GOTY so Knights of the Nine is installed. Also, back when it was free, I downloaded Battlehorn Castle.
I just clicked (to make sure. I haven't actually had any problems) "New Conflict Detector" on the Oblivion Mod Manager. Note that I also have OBSE, because I believe a mod needed it.
It shows in red, Knights.esp and DLCBattlehornCastle.esp.
After clicking many little crosses that said "Record Group" on Knights, I found 4 "Placed Object" Records that say "Overrides entry in Oblivion.esm" and "Conflicts with DLCBattlehornCastle.esp".
Is this anything to worry about?