Just some small comments here. Yes, the question of whether or not Vassiliev invariants separate knots is still open.
One broader context for the question is to consider how Vassiliev invariants were first observed -- via the Vassiliev spectral sequence for the space of "long knots". These are knots of the form $\mathbb R \to \mathbb R^3$ which restrict to a standard (linear) inclusion outside of an interval, say $[-1,1]$.
There's a few standard ways in which the space of long knots can be turned into a topological monoid -- a "Moore loop space" construction which is pretty standard, or a "fat knots" construction from my "little cubes and long knots" paper (Topology 46 (2007) 1--27.). So this monoid operation is just the connect-sum operation, suitably jazzed-up to be strictly associative.
An observation for which I'm not sure if anyone has written up a complete proof yet is that the Goodwillie embedding calculus (an alternative approach to the Vassiliev spectral sequence, among other things) factors through the group-completion of the space of long knots. By this I mean, if K is the space of long knots, call the "group completion" the map $K \to \Omega BK$. $\Omega BK$ is where the "formal inverse" to a knot lives. The homotopy-type of $\Omega BK$ is computed in "little cubes and long knots". In particular, you can think of the Vassiliev spectral sequence as being an invariant of $\Omega BK$, not $K$. From the point of view of Vassiliev invariants this isn't such a major insight as $\pi_0 \Omega BK$ is the group-completion of the monoid $\pi_0 K$, so it's just a free abelian group on countably-many generators.
In particular, there are classes in $H^1 K$ for which there are no obvious finite-type approximations. $H_1 K$ has some torsion classes for which it's pretty unclear how to detect using the Vassiliev spectral sequence. Here is a mass of torsion computations for the homology of the long knot space: Ryan Budney, Frederick Cohen On the homology of the space of knots, Geometry & Topology 13 (2009) 99--139, arXiv:math/0504206.
edit: although "little cubes and long knots" describes the homotopy-type of the group completion of the space of long knots, it would be nice to have a more "concrete" embedding-space type description of the group completion. Mostovoy has an attempt in Short Ropes and Long Knots. I believe an idea like this should work and likely Mostovoy's idea works as well, but (again) this is something that needs to be written up for which there hasn't been enough time to start the project.
If you allow yourself to consider knotted trivalent graphs, instead of just knots, then you can start with just the tetrahedron and Mobius bands, and use the operations unzip, bubbling, and connect sum to get all knotted trivalent graphs. This result is due to Dylan Thurston and Dror Bar-Natan and is written up by Dylan in a GT monograph. Their motivation was the lack of a good candidate for an answer to your question which stayed entirely in the language of knots. However for many situations KTGs are just as good as knots (e.g. click on a random link at Dror's wiki).
Best Answer
Yes there are infinitely many prime knots.
Not a "proof from the book", but all (p,2) torus knots for p prime are prime, and they have different Alexander polynomials.