In the game Valhalla knights Eldar scrollswhat does the knight mean when he tells you check back with me after you have snooped around the other towns

I don't know what game you mean as there is a scenario like that in Elder Scrolls IV: Oblivion.
The Knight is in a basement. I played the game to the end and never found out, no matter how many times i returned to the Knight. I also think that it might have been Elder Scrolls 3: Morrowind...I just can't remember which of these 2 games that happened in, as I've played over 150 RPG's and it gets confusing remembering which game it was in.