It largely depends on what your goal is. The "new and improved" method is okay for high end gif animations. If you're doing say an old school animated gif banner (sadly these do still exist) then I would just use Legacy.
The new method would be to use Photoshop's Render Video functionality and then Adobe Media Encoder to convert it to an animated .gif which will give you much more control:
As far as Legacy goes:
Adobe was trying to improve the Save For Web through the combined use of Quick Export, Export As, and Export Assets. Except everyone is so used to looking for Save For Web that nobody knew to look for these features, especially Export Assets. As a result of nobody using Export Assets they quietly got rid of it in CC2015. So Save For Web doesn't really have a great replacement but is still labeled Legacy.