The Legend explains what each Color, Shape or Group represents when a feature is mapped to the corresponding dimension. It is also a useful way to filter your visualization by showing and hiding specific categories and bins. The number of visible points and total points can be found in the bar just below the legend panel
The options menu in the top right of the Legend panel allows you to edit various Legend display settings. You can show or hide the number of points in each category, and show either the number of points or percentage of points in each category. For each of Color, Shape and Group By, you can change how the list is sorted: by number of points in the Denominator (default), number of points in the Numerator, or Alphabetically. This is also where you can reset all changes to show all points again.
Categories can be renamed from the Legend panel by right-clicking on the category you would like to change and entering a new name. Note that this change will persist throughout the loaded dataset.