Knox is just Samsung's name for its security framework. What it does for you is help protect your device against 'attacks' or unauthorized access. Under the hood, it helps encrypt your device and help against hacking (that's where the trip counter comes in), and if you use the app, it can help you secure certain portions of your phone so that you keep that information away from prying eyes.
It's not forced on you. You can choose to use it or not use it. The Knox part of the hardware, however, is always and will always be active since that's the whole idea.
If you trip it, the consequence is that Samsung knows you tampered with the device's core software. By their warranty terms, it will be void. That being said, it's not always enforced, especially if the malfunction is very hardware apparent, but strictly speaking, they can totally deny warranty based on the trigger being tripped. As for removing it, I don't think I've heard of anything that does that so far. Which, again, speaks very well of Knox's security.