I am not aware of any obvious solution to query the norm of the current step.
A workaround would to query the current primal-dual solution (x_k, \lambda_k) with KN_get_solution:
https://www.artelys.com/app/docs/knitro/3_referenceManual/callableLibraryAPI.html#KN_get_solution
and to evaluate yourself the increment between two iterations :
{\tt step}_k = (x_{k+1}, \lambda_{k+1}) - (x_k , \lambda_k)