You can knurl with a 4th axis and a chamfer mill arguably better than you can with a lathe and actual knurling tool. There is less setup, aligning and general horsing around and your results, like all things CNC versus manual, will be more consistent across the board.

Below is a knurling generator for a setup as shown in the videos. Probe for your zeroes like you would for a lathe and input your desired parameters.

4th Axis Knurling Generator

30° knurl on left, center and right photos are 45° knurls.

These all show 30° knurling, the last video is a time lapse.