Click-through rate (CTR) prediction plays a crucial role in modern recommender systems. While many existing methods utilize ensemble networks to improve CTR model performance, they typically restrict the ensemble to only two or three sub-networks. Whether increasing the number of sub-networks consistently enhances CTR model performance to align with scaling laws remains unclear. In this paper, we investigate larger ensemble networks and find three inherent limitations in commonly used ensemble methods: (1) performance degradation as the number of sub-networks increases; (2) sharp declines and high variance in sub-network performance; and (3) significant discrepancies between sub-network and ensemble predictions. Meanwhile, we analyze the underlying causes of these limitations from the perspective of dimensional collapse: the collapse within sub-networks becomes increasingly severe as the number of sub-networks grows, leading to a lower knowledge abundance. In this paper, we employ knowledge transfer methods, such as Knowledge Distillation (KD) and Deep Mutual Learning (DML), to address the aforementioned limitations. We find that KD enables CTR models to better follow scaling laws, while DML reduces variance among sub-networks and minimizes discrepancies with ensemble predictions. Furthermore, by combining KD and DML, we propose a model-agnostic and hyperparameter-free Knowledge-Driven Ensemble Framework (KDEF) for CTR Prediction.