Probably because Legion is a show that's harder to get into, and people might not find it as interesting as some other shows. But truly, I don't really know.
Edit: Or if you want it in a simple way.
Weird show.
Exactly my point. I was just looking for a shoot-'em-up. Found myself caught up in the plot.
Apparently it is getting another season, so it did find an audience.
Also, wandering further afield, I've noticed that there's now a genre of action/politics shows. "The Recruit" "The Diplomat" "Madam Secretary" "The Night Agent."