In Legend mode, rookie soldiers only get four health points, aliens can absorb much more damage, it takes a little longer to level your characters up - meaning you'll be stuck with grunts for a lot longer - and upgrading facilities and technology takes more time. Add that to XCOM 2's well-documented difficulty, and players will need all the help they can get to keep their troops alive.
Given that you'll need to level up your characters over time in order to fight off XCOM 2's alien menace, losing a well-trained soldier can completely derail your campaign.
