No, I don't know the legend.
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Does anyone here know what he's talking about? I've never seen any mention of why you shouldn't eat pies anywhere in the entire game. This is the first time I've heard of any legend about not eating pies, in game or out. Four and twenty blackbirds baked into a pie (the only mention about legendary pies in the entire game that I've found) has nothing to do with anything, near as I can tell.