There is a bug currently affecting the creation of Death Knights after you have installed Wrath of the Lich King.
If you get an error when creating the Death Knight, and you have met the requirements of having a level 55 character on the server in which you're creating the Death Knight, just make a new level 1 character first.
After that character is created, you can then create your Death Knight without any more problems.
I have to wonder how the bug came to be, and why they weren't able to fix it. We probably won't know either of those answers. But at least we have a quick and dirty fix.