Other Watsonian explanation: he WAS anointed by the High Septon, but actually KNIGHTED by Robert.
The full, fancy knighting ceremony, with vigils and ceremonies and suchly, involves both “dabbing and dubbing.” Sandor Clegane, Sansa II, AGOT:
So here’s the thing: Illyrio says that Jorah was anointed by the High Septon. However, Jorah says in ACOK Dany I that he got his knighthood for storming the breach at Pyke, and the WOIAF app confirms that Robert knighted him.
There’s a coujple Watsonian explanation: Jorah might have been anointed in a victory celebration later but didn’t convert, or Illyrio’s making shit up b/c he wants Dany to trust Jorah so that Jorah can be his man on the insdie once Dany leaves for Vaes Dothrak.
The Doylist explanation: early installment weirdness on GRRM’s part.
Gregor got his ointments too. Four years later, they anointed him with the seven oils and he recited his knightly vows and Rhaegar Targaryen tapped him on the shoulder and said, ‘Arise, Ser Gregor.’“
The anointing the and actual knighting are part of the same process but two separate steps of it that are probably done by two separate people; any knight can make a knight, but I bet you need a septon for the anointing.
It is entirely logical that Robert dragged the High Septon with him to Pyke, especially since campaigns against the Iron Islands are kinda-sorta holy wars be default. And we know that handing out post-battle honors can be a lengthy, time-consuming process done en masse; witness all the knightings and awardings of honors taking all damn day after the Blackwater.
My in-universe guess would be that Ser Jorah was kneeling in a line along with like, forty other dudes, and the High Septon walked on down the line and anointed them all with the seven oils (the dabbing), and then Robert called them up one by one and tapped his sword on their shoulders (the dubbing.)
I would be very surprised if Robert dragged the High Septon to an active warzone. But I agree that it was likely a mass ceremony.