The angle of the feet is not so much a risk as whether or not your knees move in the direction your feet are pointing. If you feet are at an angle to your knee movement, then, yes, you will very much hurt your knee.

Your doctor was probably right to give that advise for walking.

But when lifting weights it is a much more stable position for many, and as long as you ensure your knees track a line over your feet rather than at an angle it's not generally a problem.