Legacy was the site that osu! was hosted back in the days ( ex. https://osu.ppy.sh/p/beatmaplist? )
Nowadays with the whole redisign of osu! the site you see now is the "New forum" and soon(tm) osu!laser will be the default client
From notifications (the button next to the language and at the left of your avatar) click "PM Forum Legacy". Login from there and reclick the notifications and PM Forum Legacy again