Oli isnt exactly right.
The Burning Legion is connected to the main story of the Cysael area. To investigate it is a quest given to you by legion Commander and on the way there you should meet two undead who were legion soldiers which will tell you a nice little story.
Furthermore it is indirectly tied to the murder quest and connected to it.
While it is directly tied to the Undead siege of Cysael quest chain.
Talking to NPCs and reading what they say is good thing to do in this game.
