Unfortunately, you can't do this directly in the format page. You'll either have to create another column that contains a user-friendly name for your data. Then use that as the legend.
Ex.
Legend = SWITCH(
TRUE,
Table[Lag Days] <= 3, "Low",
Table[Lag Days] <= 7, "Medium",
Table[Lag Days] <= 30, "High",
"Extreme"
)
Or maybe use grouping to create the legend names that you would like.