From what I understand, they need to be changed when:

1. A code pop-ups saying "low voltage knock sensor"... something like that.
2. You see a lot of KR on your scan gauge but aren't sure were it's coming from. You put race gas in, and still have KR. Might be a bad knock sensor giving a faulty knock reading.

Likely other reasons that I'm not aware of. But those 2 definitely come to mind.