I'm not sure why you started looking for other transcription factors when you explicitly knocked down SOX2. If there are known/presumed SOX2 binding sites in the promoters of most/all of the highly DE genes then it doesn't matter what some random tool tells you, you already know that the SOX2 KO is driving the response.
The things with all of these tools, is that they rely on (A) a database for known target genes (how updated is this? who knows?) and (B) the test is looking for enrichment. The target genes in the database will end up being "all known target genes", which of course will not all be expressed to begin with in your circumstances. So it could well be the case that if these tools knew of the subset of target genes expressed in your particular circumstances that they would give you results more in line with your expectations.
Anyway, when using a tool it's always good to ask yourself, "is this really answering the question I want to pose, or am I only getting the answer to a related question?"