Well that's a shame, is it also the case with the Helioskrill? I'm doing the Legend run right now and I don't want to waste my time if I'm not getting the armor.
Don't worry, you should still be able to get it. Make sure at the end of each mission you get a completion achievement though (so the mission registers properly on server side). MCC may say you've completed a mission in game, but it hasn't registered online. If you don't get the achievement, then you'll have to keep playing the mission until you do (staying online and completing a mission fully can help with this).
Once you get the Legend achievement, if you do not get your Helioskrill armour, try the solutions mentioned in this thread
. Additionally, some of those solutions might work for your other armour sets too if you are lucky.