Legion will mention the simulation theory, though it will mostly be to point out that it seems unlikely/the simulation would have to be more advanced than anything they know of, as even the Reapers, a species commonly seen as unknowable machine gods, are not capable of creating a simulation that can fool other synthetics.

Unless they themselves are part of the simulation, of course.

In fact, they could all be simulations, or AI copies of their original selves. (It's not an idea Legion fully believes, but they'll suggest it anyway as a possibility.)

They have not yet seen anything from their memories manifest in this world.

More importantly, like some others, they also aren't new to this whole alternate reality thing. Because they're pretty sure that that's what this actually is: a whole other universe, not just a planet or a simulation.

Prior to coming here they'd been in a world composed of ocean and islands, presided over by a "god" of stories. That world recently came apart, the last thing they recall is frantically shepherding people and wildlife to an escape portal before going through themselves. As far as they know, the Storyteller had intended to create a new world for everyone to live in, but this does not appear to be that world: none of what they fought so hard to save is here.

They're more than a little distressed by the fact that nothing came with them.