Knee pads are often part of special compression pants that the player wears under their shin guards and jock strap. Other types of knee pads are separate from compression pants, and can be worn alone. There are also special knee pads for goalies, which cover up any holes left by hockey goalie pads.
Hockey knee pads protect all around the knee, including places the shin guards may not protect. Knee pads protect from pucks and sticks. Specifically, if a player is worried about being slashed, knee pads may be right for them.
Knee pads are not a required piece of equipment since players already have shin guards, but wearing additional knee padding can't hurt.