You can hack your way to a solution with my legendflex function. It's designed to make gridded-style legends like this, though unfortunately doesn't include the row/column label function yet (I'll keep that in mind for an enhancement, though... shouldn't be too hard to add).
Scatter only creates a single object to label, so to get individually-colored marker for a legend, you can create some invisible line objects:
% Data
nrow = 3;
ncol = 4;
ngrp = nrow*ncol;
x = rand(100,1);
y = rand(100,1);
group = ceil(rand(100,1)*ngrp);
datalabel = strtrim(cellstr(num2str((1:ngrp)', 'C%d')));
rowlabel = strtrim(cellstr(num2str((1:nrow)', 'Agent%d')));
collabel = strtrim(cellstr(num2str((1:ncol)', 'Temp%d')));
% Plot
scatter(x,y,[],group);
cmap = parula(ngrp);
colormap(cmap);
set(gca, 'clim', [0 ngrp] + 0.5, 'ylim', [-0.5 1.5]);
hln = line(nan(2,ngrp), nan(2, ngrp), 'marker', 'o', 'linestyle', 'none');
set(hln, {'color'}, num2cell(cmap,2));
% A regular legend to show the hidden-marker idea
hplain = legend(hln(:), datalabel(:));
export_fig('leggrid1', '-png');
delete(hplain);
There are two ways I can think of to get the grid layout. One is to add extra no-marker objects for both the row and column labels. The second is to add extra markers just for the row labels, and create multiple legends with legendflex's title property for the column labels. The latter centers the column titles over the label and object together, which I prefer, but it means you have to keep the box off (which may or may not work for your data):
% Option 1: add extra objects for row/column labels
hr = line(nan(2,nrow), nan(2,nrow), 'linestyle', 'none');
hc = line(nan(2,ncol+1), nan(2,ncol+1), 'linestyle', 'none');
allobj = [hc'; [hr reshape(hln,nrow,ncol)]];
alllbl = ['-' collabel'; [rowlabel reshape(datalabel,nrow,ncol)]];
hleg1 = legendflex(allobj(:), alllbl(:), 'nrow', nrow+1, 'xscale', 0.5);
% Option 2, multiple legends with titles
allobj = [hr reshape(hln,nrow,ncol)];
alllbl = [rowlabel reshape(datalabel,nrow,ncol)];
ttl = ['-' collabel'];
for ii = (ncol+1):-1:1
if ii == (ncol+1)
hleg2(ii) = legendflex(allobj(:,end), alllbl(:,end), 'ref', gca, ...
'anchor', {'se','se'}, 'buffer', [-10 10], 'xscale', 0.5, ...
'box', 'off', 'title', collabel{end});
else
hleg2(ii) = legendflex(allobj(:,ii), alllbl(:,ii), 'ref', hleg2(ii+1), ...
'anchor', {'sw','se'}, 'buffer', [0 0], 'xscale', 0.5, ...
'box', 'off', 'title', ttl{ii});
end
end
