What about the Legacy System Extension? What does it have to do with Catalina? Please advise! Thanks!

Do not attempt to do anything. It is something only software developers can fix. Why Apple felt it had to warn end-users is lost on me.

Do not attempt to remove any extensions, as Catalina and earlier still use some legacy extensions. Removing them could leave you with a non-working computer.'

This is Apple's article of the subject:

About legacy system extensions - Apple Support

If you need the software that must hack the OS to do its job, then you should inquire with the developer whether they intend to continue supporting macOS. If you need it and they don't intend to continue support, you should not upgrade to Big Sur.

If you need it and the do intend to continue support of macOS, then you need to wait for an update before you install Big Sur.

If you don't need it or you don't intend on upgrading to Big Sur, you don't have to do anything at all.

It has nothing to do with Catalina. It is warning about software that won't work after Catalina is upgraded to Big Sur.