In epistemology the conceptions of knowledge and belief that are typically on the table are such that it is hard to imagine belief as anything other than a poor cousin of knowledge. "Do you merely believe that, or do you actually know it?" is the kind of question which prompts this attitude. And we can easily think of cases in which knowledge claims are retracted and revised to belief claims when a lack of adequate justification is exposed. Knowledge may not be justified true belief, but the propositions which are used to express the content of knowledge claims do - unlike those which express belief claims - at least need to be true, and - in non-primitive (e.g. non-perceptual) cases at least - do require adequate justification. Knowledge is the real deal with which the sceptic can be silenced and in which true certainty can be reached.
The line works perfectly to express the point: that someone may know something in an intellectual sense, but not have taken it in at an emotional level, not have connected with the meaning of the fact in their whole being rather than in their intellect. What is striking, when seen from the vantage point of epistemology, is the greater significance of belief over knowledge here. The significant contrast pair are 'really believing' versus 'actually knowing'. 'Belief' and 'believe' at one time meant something more like hold dear, trust, esteem, care, desire, love. In certain uses today (e.g. in faith contexts) it has a lot closer connection to commitment than knowledge. To my mind, in in-treatment-like contexts, it implies an inner acceptance of a fact, an acceptance which shows itself in the total propagation of a fact or a putative fact throughout the entirety of the visceral set and behavioural dispositions of the believing subject. You have to really believe, and not simply know, that your family member or friend is dead; and so on. Compared with this sense of belief, knowledge is a rather impersonal animal which can be exchanged in the marketplace of ideas more like a commodity than belief. Belief is more likely to be fostered or nurtured in an emotional community. But it grows inside the individual, and requires an inner embracing and acquiescence.
There are many times in our lives when what we really need is knowledge rather than belief. But sometimes only belief will do.