For my knight, I want to have at least one piece of my attire to be high in normal and piercing protection (or at least high in one and higher than medium in the other.) I was thinking of staying with the cobalt armor series because the 4-star armor is very high in normal and piercing protection. However, I'm curious as to how good the cobalt armor series sums up to others at each level.
All the armor is approximately equal, within each star tier. The primary change between different armor sets is the ratio between the two kinds of protections it offers.
Compare the Azure Guardian Armor:
To a Skolver Coat:
The Azure Guardian Armor has more normal defense, but lacks the Skolver Coat's freeze resist and bonus damage (not shown).
Since players can't get exact numbers in terms of damage or defense and must rely on bars instead, it is hard to say how much better Azure Guardian armor is when fighting normal damage enemies.
(I'm showcasing the differences with the 5* versions, but the relationship holds true for the other 3 star-ranks also)
The major thing you'll miss out on with the Cobalt line is status resistance. Status resist, especially fire resist, is considered extremely valuable in the SK endgame.