What is the correct way to apply KNN to a time-series using a rolling window?
I never used KNN on time series. I didn't know it was possible before reading your question. But by googling it found this tutorial that feel pretty clear. 

And if understand you correctly what you do with KNeighborsRegressor, by repeating 4 - 5 - 6 you will based the later predictions on what you predicted for the previous row.

If this is not intended you can just predict every row following the 200 used for training.

Hope it helps :)