Southpaw, thanks for all that.    I do appreciate you must think I'm faffing about with things you already know, but I don't know them and am trying to build some sort of a picture to work back from, though I do realise why you have found it so frustrating, it's a real puzzle.
So James and Jessie married in Moffat on 30 September 1845, and the only fact it confirms is that they are both from Moffat.   One online tree gives that marriage date for both James and Jessie, and for James Snr and Mary Bell, which would be unusual, but the records certainly don't bear that out.
The number of possible marriages for your James Snr and his namesakes is considerable.   You already mentioned:
" Various researchers have claimed that James McKnight from Moffat is their ancestor. These two James McKnights have apparently married Mary Young, Jane Neilson, Sarah Wallace and Mary Bell. "
In 1829 there is a marriage to Janet Sloan, and in 1836 to Ann Fraser.  Both of those were in Dumfries. 
I now completely understand the nature of your brick wall.    I'll keep on trying,  but but hope for your sake that someone else will have a magic answer for you.