A kill switch wouldn't have saved them. What killed Knight wasn't the $400 million loss, it was the lack of confidence all other firms had in them afterwards. Brokers can't just shut down in the middle of the trading day.
They managed to raise the money to cover the loss, but afterwards they were getting round 10% of their normal order volume [1].
Somewhat ironically, the closest thing they had to a kill switch, backing out the code, actually made the situation worse as it made all 8 servers misbehave instead of just the first one[2].
The full SEC report in [2] is an interesting read, just skip the parts about "regulation 5c-15...".
[1] http://www.businessinsider.com/look-how-knight-capitals-trad...