Notification icons:
The roaming icon (looks like the regular signal strength icon, only with an R on it) does not appear to be themed. Instead it's the standard green.
Also, for some reason, when wifi is turned off, the signal strength icon is gray not blue.
I don't use 3G or edge, so I don't know how those icons look.
The battery percentages icon is very difficult to read. This is easily bypassed by checking "Battery Percentage" in CM settings -> Interface -> Status bar tweaks. It's a shame though, the special made percentage icon is a lot fancier.
Font size:
This is most noticeable in the Launcher Pro Plus widgets, especially the Friends widget and the Pulse news reader app. It's definitely readable, but still a minor nuisance.
If this is a deal breaker to you, there's always the option of not installing the font or installing a different one. (If anyone knows a font that looks good on the Legend, let me know.)
1: CM-version: I have only tested these specific files on CM7.0.3. I made them by combining the MattedBlues files for 7.0.3 with files from the CM7.0.3 zip file. For all I know, they may work on other versions as well. If not, the MB files for other versions can easily be converted to Legend-compatibility.
2: Mine is S-ON, so I wouldn't think you need S-OFF (I don't really know what S-OFF entails, I'm somewhat of a newbie.)
3: Now, I have no idea what that is. I sure never did that with my phone. Looks like a way to write files to /system without booting into recovery. I just boot into recovery =)