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Hellknights have very strict rules, and they follow those rules to the letter, regardless of local laws. Generally local laws do not conflict with order structures, so there are no problems. By nature, they follow all rules even if they don't respect the local government.
The Order of the Torrent is lawful good and focused on freeing kidnap victims. If that means breaking into a jail, then so be it. If the local government is involved, then they will be treated as part of the problem.
Likewise, if the Order of the Nail decided that some local practice is preventing growth of civilization and society, then they will fight it. If that is Cheliax, Molthune, or wherever the order will do whatever is necessary. Preferably using the local government, but that is not required.

Pope Uncommon the Dainty |
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Writing quickly, so I don't think I articulated very well:
In the absence of an equivalent to the Treaty of Westphalia, Avistani ideas of the nation likely wouldn't include the same understandings of sovereignty we've had on Earth since the Early Modern period. In other words, there is no citizen-ship to violate, outside of feudal serfdom (which functioned like slavery: the lord OWNED the serf).
I can imagine that the various philosophically rebellious nations (Galt, Andoran, etc.) have had philosophers constructing the idea of national sovereignty since they declared independence. It would be an attempt to articulate what that independence would mean in the absence of a rival lord the folk were throwing in with, and might attempt to articulate "the people" as the ultimate feudal lord or somesuch.

Gamerskum |

The Writings have shown there is a nationalistic tendencies in a lot of the nations so while they might not have the same reasons for giving citizenship it seems likely that even if its not in the exact terms we use they under stand us vs them and ascribe national origins and citizenship in close enough a manner.

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I imagine the Order of the Chain goes wherever fugitives do. Local jurisdiction is mostly meaningless, although if the local cops have arrested said fugitive, all is right in the world. Likewise, I think there are valid reasons for many of the orders to send knights to foreign countries. The rule of law transcends borders.
So, it is clear that they mostly operate in Cheliax, Isger, and Korvosa, they can be anywhere. Since quite a few went to Mendev to fight the demons of the world wound, I wonder if they have some chapter houses up north. They can still fight demons and trample the locals traditions.

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I can imagine that the various philosophically rebellious nations (Galt, Andoran, etc.) have had philosophers constructing the idea of national sovereignty since they declared independence. It would be an attempt to articulate what that independence would mean in the absence of a rival lord the folk were throwing in with, and might attempt to articulate "the people" as the ultimate feudal lord or somesuch.
The philosophy of the revolutionary wave of the 4660s in Avistan was textually more radical than that, to the point of out-and-out Jacobinism. Popular sovereignty in some form had to have been well-developed before that to have come into such complete being as both a philosophical system and as an active political practice through revolution. After all, it had gestated for a hundred-plus years in the theory and experiments of the Reformation before being put into practice at Westminster (referring there to the execution of Charles Stuart - at least as epochal an event in the development of popular sovereignty as the Peace of Westphalia, which as much as anything empowered the princes over the people).
That said, Hellknights are almost totally a phenomenon of the Chelish world - that is to say, the empire at its territorial height in Avistan and Garund. They rarely try to operate beyond that, and the degree of resistance or support they have from local authorities is an expression of the relationship of that territory to the Chelish motherland. Andoran, Vidrian, and Galt do not tolerate Hellknights, and Vidrian executes them; Korvosa and Ravounel sponsor their own orders, because they are still ambivalently Chelish provinces.