The 'es' is implied. When you say 'I know' you really are implying the specific item that you know. In German (and French and some other languages) you must spell out the missing 'es'. On its own "I know" does not mean anything. What do you know? We just imply 'it' in English and that 'it' can mean many things depending on the context.
"I do not know exactly myself" sounds very unnatural. It would sound far more natural to say ""I do not know myself, exactly", or "I do not know exactly", , or maybe "I do not know, myself"depending on what you want to emphasize. Still, the "myself" seems forced, as a way to practice "selbst" in the German sentence.