I'm not sure about the KNRO but there is an entire thread dedicated to hard wiring boards etc. Check the making stuff together sub forum.
KRO is limited by two things: the potential key rollover of the matrix, and any limitation of the controller or protocol
Most key matricies are 2KRO, or NKRO, and most keyboard controllers support either NKRO (some PS/2, some USB) or 6KRO (many USB) or 2KRO
Setting up a keyboard with a diode on every switch means the matrix is nkro-compatible. adding either a PS2 controller or a USB controller with compatible firmware will yield a fully NKRO keyboard.
There are many reasons to add NKRO diodes to every switch, and it's especially well suited to DIY designs. Diodes are of cheap enough cost to almost be negligeable, and the only real difficulty is the time investment (either stuffing them into switches, or soldering them to a pcb)
One technique, often called hardwiring has been used to have the diodes themselves be wired between switches, with no PCB. this has been done by many people, but one good early example is lowpoly's
apple m0110Finally, given the proliferation of inexpensive one-off plates, an entire thread has emerged with information and support for direct wiring (or hardwiring of custom keyboard designs:
http://geekhack.org/index.php?topic=40567.0In short: Other than the added complexity, time, and a little cost, there's nothing preventing you from adding diodes to every switch. I'll most likely be doing this later with a few hall effect keyboards I have.