Is there any difference between legion and class legion?

Class legion is the most important one. You should focus on getting that one the strongest with the best developed heroes ASAP.

Class legion gets some buffs (improvements) by default other legions do not.

E.g. more might when attacking monsters, higher speed when gathering etc.

If you are a raider you can only loot gold from enemies with your class legion.

All other legions can only loot the rest of resources but not gold.