How to station Cheng Zheng hero at garrison?

Combat heroes are added to the legions via the legion screen (the helmet icon in the top left) or by tapping on one of the training grounds.

You need to complete research though for each of the 4 legions to unlock the hero slots. Each legion has its own research tree in the institute, the first item will unlock the first hero slot, the second slot will be opened around half way down and the the third slot is the last item that you research for each legion. Once the slots are open you can drag and place any of the combat heroes you own.