Just because we never saw a heart doesn't mean he's not dead.
Because we have next to no information on the knights, it's possible the knights are Nobodies, and thus would not release hearts. Also, I think one needs to be defeated by a keyblade in order for that effect to happen. That was the whole reason the Organization needed Sora, right?
The knight however, was frozen and fell off a cliff. The fall was strong enough to break his keyblade, so that must be some extremely hard armor he's wearing.
I'm not saying he died (yet? ;____; I don't want him to die), because his eyes are definitely moving at the end.
