hiya,
i wouldnt worry, its probably no big deal at all. Its not a knee problem as such - you can get them anywhere.
I know a guy with quite literally hundreds of them on his body, initially the removed the first 2 or 3, then he developed them all over (its some condition he has) - so the docs said leave them - totally harmless.
Cysts are not necessarily soft or fluid filled. Is it a polyp? (not sure if I spelled that right). They can feel hard and they do hurt when pressed (think of someone pressing a marble into you).
Anyway they will just go in through the skin and whip it out, stitch it up and voila, tiny mark left behind when it heals.
Risk of infection is only the same as any cut on the body, just keep the wound clean and dry while its healing.