Temporal paradox.

It seems that specializing in knights is very inefficient. What does it even give, besides boosting Watchtowers?

Watchtowers are a rather weak attribute for knights. Even at the AI level, they manage without it; troops attack stacks without Watchtowers, and stacks under the protection of a Watchtower are destroyed by magic. So, no matter how much you boost it, even up to "unstoppable force," it doesn't help much.
The specialization in horses is not so much inefficient as it takes a long time to become useful. You need to specifically design a map to play as a horseman. This map is practically the opposite of what's needed for that playstyle.
Let me explain. You start with two castles, and dwellings of levels 1-3 can be built in them without any problems. You can quickly capture outer buildings of levels 2 and 3. Archers also join you. By the beginning of the second week, you have over a hundred archers. If they are just a nuisance for Axel, then under Dugald, they are heavy artillery, sweeping away everyone. The outer dwelling for horses is located too far away and opens too late, so it doesn't contribute much to the hero's development. Training halls are also closed for construction. As a result, the horseman sits practically without any striking force in his army, while Dugald, having gathered hundreds of two or three crossbowmen, can pass through any garrisons.
Next, the horseman is highly dependent on magic. Both specific spells and the amount of mana are important for him. The "Knowledge" parameter is never very high for a knight, only through artifacts. "Regeneration" here is guarded so well (Druids, about thirty of them) that you either have to sacrifice half your army or sit without it for a long time. And without "Regeneration," Axel is not a warrior either. That is, this is another element on the map that works against him, since this spell cannot be obtained in the Tower. And even with one horse and "Regeneration," you won't be able to win many battles.
The enemy of knights, the Dwarves, are extremely unpleasant for cavalry. In a purely melee fight, Dwarves are preferable. You can lose everyone to just a few Lava Dragons because of their shield (Units attacking Dragons in melee combat take fire damage equal to 40% of the damage they inflict.). But if the knights have a strong ranged stack, the Dwarves become very vulnerable. Under Dugald, crossbowmen can destroy 15-20 dragons in one turn, not to mention weaker creatures. Again, the situation is not in favor of horsemen.
The horsemen need help, but archers can always manage on their own.

How did you find out about the mentor D?

I know the magic word - "map editor."