To a child, claiming to be a Swan Knight is not a strange thing.
The identity of the "Swan Knight" in the Iris Flower is like Spider-Man, Batman, or Superman, those superheroes who hide their identities through costumes. They are mysterious, just, and invincible embodiments of heroism. Children can't escape that "I'm actually a mysterious hero who can't reveal my true identity" coolness; it's completely normal.
But for an adult to still firmly believe he is a Swan Knight, well, that's a bit like "the Dragon King Returns".
And for a prince—or even a king—it's even more preposterous.