Louis Saha gave the Premier League side the lead after 23 minutes but second-half goals from summer signing Ryan Lowe and Efe Sodje sealed victory for the Shakers, who included trialist Simon Johnson in their line up.
Knill now takes his team to Radcliffe Borough on Monday night before meeting local rivals Oldham next Saturday.
He said: "I'm not surprised at all about how we played. We worked hard on retaining the ball and moving the ball - we have a pattern of play and an idea of what we want to do.
"It's good to see Ryan Lowe get off the mark. He's a good player and he's very bright with some of his touches.
"I thought Simon Johnson looked lively. Every time he got the ball he looked a threat. Going forward he is exciting."