The problem is that all of them are essentially figments of Stephen Leeds' mind. Stephen would like to be normal but, thanks to the skills and abilities of his various hallucinatory friends which he can make use of, has settled for being rich enough to live in a largely empty mansion. At least that way each of his hallucinations can have their own space.
But there's always someone who hopes to make a name for himself at Stephen's expense. That's pretty much where this novella starts. It's a really interesting concept that is executed quite well. It is an incredibly quick read, at only 18,000 words. I found myself really wishing it was longer once it is over.
The primary mystery introduced at the beginning of the story (someone hires Stephen to help track down a former employee that has stolen some sensitive equipment) is resolved quite well. We also learn small details about how his 'abilities' work, and pick up hints along the way that Stephen's mind was not always as coherent and sane as it is now. Which is saying something.
Due to how the events of the story unfold, combined with Stephen's own past, it's clear that should Brandon Sanderson care to continue Legion's story there is plenty of story left to be told.
I really hope Brandon circles back around to poor Mr. Leeds sooner rather than later.