So far you have got no answer to your last question, about Knight and others' view on risk and uncertainty. In fact, there is quite a radical distinction between the view of uncertainty in Knight (and Keynes) and that presented in Oliv's answer.
In brief, according to Knight (1921) risk refers to situations where the classification of states, events or alternatives is objective and known, and their probabilities can be objectively determined. For example, in the context of a house insurance policy, events could be "house burns down" or "house doesn't burn down", which probabilities can more or less be asserted objectively, based on house/environment/individual characteristics.
Conversely, for Knight uncertainty arises from "the impossibility of exhaustive classification of states" (Langlois and Cosgel 1993, p.459). Thus, regardless of whether probabilities of events are objective or subjective, nature/economy can be so complex that all possible states are simply not known. As such, any categorisation of events used to predict the future is based on intution and judgment, thereby being subjective.
This view of uncertainty is shared by Keynes, and it is essential in his theorizing of the "animal spirits". Precisely because the future is unknown - not only in the probability of events but also on the range of events that could happen, expectations in investment decisions is not just a matter of mathematical calculation. As Keynes said, decisions to invest are taken
“as a result of animal spirits – of a spontaneous urge to action rather than inaction, and not as the outcome of a weighted average of quantitative benefits multiplied by quantitative probabilities” (Keynes 2008 : 144, emphasis is mine). Interestingly, the approach highlighted in italics is what Oliv describes in his answer, and the foundation of much of neoclassical investment theory under uncertainty.
Among Post-Keynesian circles, this uncertainty is called "radical, fundamental, or ontological uncertainty", in contrast with the neoclassical view of uncertainty described in Oliv's answer, which is sometimes called "epistemological uncertainty". For example, see here.
Finally, regarding ambiguity, to my knowledge that concept is not used in the early literature on this matter.