If I use the start of the layout for turret targeting, units won't change targets after a kill. Am I wrong?
Yes. You are confusing "Add target" and "Acquire target" actions. You only need to add a target once. Then all knights will fire at instances of Army_Undead_R whenever they are in range.
But if you want, you can disable automatic targeting, and use "Acquire target" action instead. For example, pick all undead enemies in range, then pick the one with the lowest HP, and acquire it as a target.