Hi John, I have not upgraded to 2.0.6 yet, but even on 2.0.5, I have never been able to get the apa6 class working without specifying more information than what you have included here (in the second file, "test.of.APA6.lyx"). Adding a title and author makes this work for me with LyX 2.0.5. As far as I understand, this is not unique to apa6, and is one of the main reasons for including a template. With a template you should be able to have a working document "out of the box" which you can then modify by adding your own content.
Does the template that comes with LyX 2.0.6 work for you? Does it work for you to create a new document if you include a title, author, and body text? (it does for me) As for the knitr stuff goes, I have never used R with LyX before, but it is something I am planning on looking into soon. So, any errors specific to that will be more difficult (for me) to make sense of, but I will try if the problems you are experiencing persist. I hope this helps. Jacob
