The Box plot is one of the few commands that does not have a Legend entry. Instead, when you set the Position menu to a text column the categories are displayed on the x-axis and you don’t need a legend to further indicate how the data is grouped.
If you are using a color scheme for the boxes then you can add that using a Custom Legend command.
You can also use the Custom Legend to add a legend that has colors and labels that you specify.
If you have particular use case, let us know and we will do our best to show you how to create.