As I understand it a legend is simply a colour key to identify which data set a value blongs to.

E.g. a bar graph representing the distribution of favourite types of ice cream among a group of people can be drawn with each bar being coloured differently. The legend would then be a list matching each colour with each flavour. Yellow for vanilla, brown for chocolate etc.

So if the yellow bar reaches 15 on the graph the legend informs us that 15 people out of the data set prefer vanilla icecream, as the legend says yellow represents a preference for vanilla.

In the example you posted the legend is the bit to the right of the graph.