With the immortal dynasty you have set tasks that you have to complete in order to become immortal. If you fail in any of these tasks then it is game over. With a Legacy there are rules you have to follow, say for instance getting a young adult portrait of any Sims in your legacy house, but if you don't do it the game carries on you just don't score a point for that particular task.
In fact the only thing you really need to do with a legacy is to keep the blood line going for ten generations.
I would say from a personal view point playing a legacy is easier a dynasty is definitely more challenging.
Rachel