Any time the legend creates new patches, they will default to the non-transparent FaceAlpha. Using the syntax to return the LegIcon set is not recommended in the documentation as it does not support all graphics features and may not automatically update as you add or remove data series from the axes. To address this, MathWorks is working on an update to the legend so that the patches in the legend are the same FaceAlpha as their corresponding lines. This update is being considered for a future release of MATLAB.
As to the error you are seeing, that is because LegIcon includes the line, text, and patch objects that are children of the legend. The set command is trying to set the interpreter for each of these objects, but Line objects do not have this property. Try changing this set command to:
set(findobj(LegIcon,'type','text'),'interpreter', 'latex', 'fontsize', 8);
