Now that's interesting.
Always oil the part being knurled and the wheel. doing it in the same swipe with a brush makes it simple.
I'm sure there are better lubes for the wheel than cutting oil, but I've been getting away with it so far.
Mine has done the same thing. I removed the knurling wheels, cleaned and lubed the shaft and the hole in the knurling wheel, there was fine metal pieces inside. No problems now. I have carbide shafts in mine. They take a pretty good beating.
One of the machinists I used to work with always said, "it isn't a mistake if you can repair it before the boss sees it". That was right after he bored a 2" hole .250" out of position. No problem, he just turned a 2" plug, pressed it in the hole, and had the welder weld it in place from both sides. He milled the part back to the original thickness and rebored the hole in the proper place. You couldn't tell there had ever been a misplaced hole.
It was a lot of work, but it was a large, expensive part, and would have taken days to replicate.
That reminds me that I did wear a groove in some knurl shafts that I made out of 0-1 steel that I hardened.
I replaced them with HSS.
Can buy sticks of it in round and cut the length needed with a grinder.
Haven't hurt any of those yet, if I do I will try the carbide.