No worries! You have it right: when you run chunks using the arrow in RStudio, they're run in your current R session. However, when you Knit the document, the chunks are run sequentially in a single new session, so the won't have access to your existing session and won't bring any objects back to it.
Knits do, however, share that session between chunks (unless configured otherwise), so objects persist between chunks while knitting 