Just knowing “I am not this body but am spirit soul” is not sufficient. We have to escape this entanglement of material nature. This is called mukti, liberation. Out of many thousands of persons who are in self-knowledge as to what and who they are, only one or two may be actually liberated.
And out of many thousands who are liberated, only one or two may understand what and who Krishna is. So understanding Krishna is not such an easy job. Thus in this age of Kali, an age characterized by ignorance and chaos, liberation is out of the reach of practically everyone.
One has to go through the whole ordeal of becoming civilized, then religious, and then one has to perform charities and sacrifices and come to the platform of knowledge, then to the stage of liberation, and finally, after liberation, to the understanding of what Krishna is. This process is also indicated in Bhagavad-gita:
brahma-bhutah prasannatma
na socati na kanksati
samah sarvesu bhutesu
mad-bhaktim labhate param
“One who is thus transcendentally situated at once realizes the Supreme Brahman. He never laments or desires to have anything; he is equally disposed to every living entity. In that state he attains pure devotional service unto Me.” (Bg. 18.54)
The Hare Krishna Movement 