The legends refer to what's printed(etched, etc) on the keycap. Normally it's the font used that's the issue, though they can also refer to the symbols for the modifiers, etc.
Many people are worried about this, as the current fonts from Signature plastics (called SP here) are "ugly" or unpopular. There is some money and effort going into recreating the font and legends from the vintage cherry doubleshot keycaps, as people prefer it aesthetically.
For example, I might say that I prefer to have legends on my A-Z keys, but I prefer unlegended modifiers (capslock, spacebar, etc)
There exist relegendable keycaps, where you can print out the legend on a piece of paper, and put it under a window, so the key can have any legend you want.
