What lvl was the toon that you moved? You have to have a toon that can have a legacy e.g. it needs to have completed chapter 1.
If you create a lvl 1 toon, as someone suggested and then move it across, you won't get the legacy. But if you transfer a post-chapter 1 toon, then you would have your legacy on that server. If you then create/transfer a lvl 1 toon to the same server, your legacy will be active and you can move the post-chapter 1 toon off again.
You can't transfer a character that is too low to have a legacy. Characters must be at least level 10 to transfer, and legacy begins at level 10. They changed when legacy begins a while ago - I think it was when the game went F2P.