Check your object folders (Knytt Stories\Data\Objects), and make sure banks 3, 4, and 5 have everything they should in them. (Bank 3 should have 45 files, 4 should have 23, and 5 should have 4.) If anything's missing, then you can extract the right files from the Knytt Stories zip file, and use them to replace the missing files.
If nothing's missing, I have no idea what the problem is.