Heavily armoured troops can be invaluable for earlier parts of a crusade, say for example you are the English and you launch a crusade to take Edessa or Syria, you are going to have to travel through Asia Minor which isnt especially damaging to heavily armoured troops.

You can use your CK or Templars etc perfectly easily in Asia Minor, the Byzantine heavy cavalry copes fine in that part of the world and to leave heavily armoured troops behind would seriously handicap your crusade. As you get to the latter stages of a crusade and you enter desert terrain then you can simply remove heavily armoured cavalry from your first wave and replace them with Mounted Sergeants for example.

I think it is always worthwhile to bring heavily armoured troops with you just in case you need them, once you get into desert terrain though they can be destroyed by camels suprisingly easily.