You're right, you need to beat at least a Red Challenge before you can complete the game (= have 4 Legendary Quests). Red Challenges of SoAK are pretty tough, but usually you manage to get a lot of money and chances to buy good Objects in this expansion. By the way, most SoAK Allies are really nice.
There are many types of Legendary Quests: all require to travel a lot, most of them require difficult skill tests, some require facing challenges of a certain colour in a predetermined space. Nothing that's too difficult to overcome, but if you fail a roll the quest is failed and must be discarded. Real Heroes don't get a second chance, they must look for other challenges. So LQ are similar to base game encounters, but more articulate and complex. Legendary Rewards are useful but they don't always help with the next Quests.
Actually in the most recent SoAK game didn't even complete a Red Challenge to win. Took on a Red Challenge, the Djinni, but failed the Before Combat test, which allows you to pick any experience counter of your choice . Compared to standard Rise of the Dragonlords, have seen a lot less grinding. In general about max 3 Blue Challenges, 1 Red (more common just 1-2 Blue). In RotD, after you take on a Red Challenge, if you need to heal, you need to go back down to Blue (since Reds aren't worth gold), but SoAK's Reds are worth gold, so you can just move on toward the next Quest location directly. Also, you just need the Allies for a single Red Challenge, doesn't matter if they die in that one, no need to look for more meatshields for the next Red Challenge.
Maybe we've been too cautious in normal RB, but last two SoAK games have seen us take on the Red Challenge after only 5 upgrades, in base I'd say we've waited until we had 7 before even thinking about it (unless had acquired some awesome combo of Allies + Items).