This assertion puzzled me for a while.
But “leg”, it transpires, is short for Legislative Building. And it is very pretty indeed, next to the massive lake in Wascana Park. I wandered round here back in July briefly, but now it looks totally different with the lake frozen and snow everywhere.
I walked the 5km round the edge of the lake which took far longer than I expected, mainly, I think because I was stopping every few minutes to take photos or stalk geese. Beautiful place, and it was so sunny today I could have done with sunglasses!