The Legion hail from a world much warmer than Earth, so they're not used to fighting in icy cold conditions. So they developed a specialized suit to (hopefully) protect from the cold.
The suit is a thickly padded jumpsuit with an electric heating system just in case the padding alone isn't enough. The thick gloves and boots are attached by a double set of zippers. A cowl covers the head, leaving the eyes uncovered. Overtop the suit, a navy blue armored jacket, armored face mask, and helmet is worn."