It's a bit unclear from your question, but I think you are highlighting "recursions". Recursions in general aren't that philosophically interesting past the second instance due to the following:
- Know P
- Know that I know P
- Know that I know that I know P
(1) is just our normal picture of knowledge talking about facts in the world.
(2) is interesting philosophically because it looks at a type of reflective knowledge where we can have knowledge of our knowledge. This is important for the reasons Geoffrey Thomas's answer highlights. Specifically, it's not the same as just knowing that thing. Moreover, it demonstrates a type of self-awareness that reveals something interesting.
(3), however, doesn't tell us anything new. Because it is exactly like (2) as a form of knowledge -- knowledge that you know something. The third degree doesn't change the type of thing it is, so it's just a trivially different version of (2). And generally, there's not much to be gained by going to the third level here.
There's two reasons for that. First, I know the the things that I know I know. What does knowing the things that I know I know add to this? Nothing but complexity really. Second, this pushes us towards a bad infinite regress -- which unproductively multiplies entities because we already know everything in it and know that we know everything in it.
A similar picture arises with will. Some theories of autonomy differentiate between a first and second order will (See this article by Holton on Frankfurt). On such theories, first order volition is the things I want immediately and second-order volition is something I use to regulate the first-order volitions. You can add third-order volition but it's not necessary because that's really just another species of second order volition (i.e. volitions about my volitions).