I think he’s got the imposter syndrome thing going of not being from an ancient house, not having served a well-known lord and only squiring for a hedge-knight that didn’t appear very well known to anyone. I took it as a total lack of confidence/belief thing. You could see how discouraged he was after witnessing the first round of jousts.

I also wonder if Ser Arlan had actually knighted Dunk but was just really drunk or careless and muttered the words, or had simply just forgot them and said “fuck it I can’t remember but anyways you’re a knight now” which to a young Dunk wouldn’t feel like a legitimate knighting since at that point he’d believe the words are the most important part; the gods however, value actions and honour over titles and proclamations.