Legato works best with monophonic sounds. Set Polyphony (see "Setting Number of Voices - Polyphony" ) to 1 and try the following:
Hold down a key and then press another key without releasing the previous.
Notice that the pitch changes, but the envelopes do not start over. That is, there will be no new "attack".
If polyphony is set to more voices than 1, Legato will only be applied when all the assigned voices are "used up".
For example, if you had a polyphony setting of "4" and you held down a 4 note chord, the next note you played would be Legato. Note, however, that this Legato voice will "steal" one of the voices in the 4 note chord, as all the assigned voices were already used up!