Yes but the IC-knights are not there to Loner-Protect the Pegasus-Wizards in the main sense of the term. The mobility is there to protect the wizards.
I have looked at these examples but
My own magic missiles, skirmishers or fastcav (esp. with any sort of ranged weapons), various warmachines, any unit with ranged weapons which aren't Ponderous, etc, etc.
Magic missiles:
Your own magic missles are indeed a concern. But your own magic missiles need to draw LOS (which could not be that easy if your wizard is in a unit) and get through my magic defense of the level 4 (most likely). Certainly magic missiles are a concern. However magic missles that are a concern also have a range that is equal to the peggy mage. For example it should be reasonably easy to keep the peggy mage out of range of other mages who are casting summoning while still casting summoning against their units.
Skirmishers or fastcav
Both of these are much slower than the peggy-mage. It is one thing to say that. Firing skirmishers (if they have quick shot) are still likely hitting the peggy-mage on 5+ (long range) or even 6+. With BS5 or so this could be a concern but these are fairly rare. For shooting you would need to be concerned more about characters with the Dragon Bow or that sort of nonsense. I'm not sure what type of normal BS shooting is very concerning.
Like if you consider empire archers. They have 6 shots (say there are six of them which seems like a decent number for skirmishers) which would do on average 2 hits and 1 wound. That means they need 3 rounds of uninterrupted shooting to kill the peggy wizard.
Warmachines (certainly ones that do multi wound) could a serious difficulty. Hence my later thought that I need cannons for counter battery fire.
All non Ponderous BS shooting is only hitting on a 6+ (if they moved and long range). Most is Str 3 or so.
Certainly there is some concern but the Peggy mages can be hidden behind the archer screens at the start of the battle.
They're expensive and annoying T3 models (they're not T4, Pegasus does not grant +1T) with 3 Wounds and no save.
In your original list, they would be the first things I'd target and get rid of.
What else am I gonna shoot at? Your IC-knights or large slow unit of State Troops?
Well you do have to do something about that large slow moving unit of state troops because that is where all the points in this list are.