Kneeling is not a naturally stable stance in the same sense as seated or prone, especially if your posture or position is wrong. It's not a good idea to be holding a loaded air rifle if you are not reasonably steady.
It's easy to get into a bad position that will hurt, or cause strain. The bag or the roll is there - or should be - to help provide safe stability and to help guard against injury.
Ask the NSRA about professional indemnity insurance for club instructors and coaches. They usually mention the risk of being sued by a pupil if you coach them into a kneeling position that causes injury. They cite that as a good reason to have PI through your personal full NSRA membership.