I think you can only use the unlocked Legendary players in the exhibition game. I haven't been able to use them in Dynasty mode. For exhibition, unlock them using the MVP points you accrued, then go to rosters. They should be in the FA market, and you can add them to the 'Stros. Be sure to save the new roster. Then, if you ever want to play with the legend, you have to load the roster prior to starting the game. It's kind of confusing, I know, but it's worth it to have Walter Johnson and Babe Ruth in the mud-n-blood. I have the PC version, so it might be different for you if you have a console version.
My character is 7 feet tall and has the strongest arm possible. They keep saying "this guy throws strikes to home plate at will." It really messes up the balance of the game, but I can't help but like being the best player ever. I play on All-Star (not yet ready for MVP level) but Boss Miller usually helps us get the win.
