So far, I have gotten this partially working to where it's usable for now.

I have columns using INDEX/MATCH to get the values of the Options into columns in the scenario worksheets, and I created a range to store the legend (which I enter manually based on their order in the options columns)

From there, I get the proper footnote symbol from the legend using another lNDEX/MATCH for each option column, and this is working properly for me.

The only part that isn't working yet is the compilation of the legend itself (getting the unique non-empty values from all of the option columns). I do want to try to get this working in the future, and I have had some success with a formula in tests, but getting it to work in the actual worksheet hasn't happened yet. For now, it's easy to enter the values in the legend list manually so that i can get this task done.