As a follow up, Zmeg was right, it's caused by distance.
This is useful for instances were a new guy might be using 1024 x 768 screen resolution, throws up 120 grass tiles (the maximum screen full at that resolution) and begins placing objects.
In every occurrence, no matter how I changed the order or object settings, the Knight HQ would not appear and the zones for Knights were not shown. I believe the Knights were the one affected only because in my case, their objects were sandwiched between the Bish and Rooks. It could have just as easily been missing Bish or Rook HQs if I'd placed them in the middle.
Simply start over, make 400-500 terrain tiles and then place your objects keeping in mind that if they are too close together things will go wrong.