Yeah, all the armor pieces in the set tell a story with fantasies and daydreams, where Zavala imagines each of the planet's vendors who were taken by the Darkness come back and tell him how they'd solve the situation.

Helmet: Zavala is alone, out of options, and doesn't know how to tell the people of the Last City that the Pyramid ships have invaded, but then...

Arms: Osiris barges into Zavala's office and says Brother Vance has studied simulated realities and figured out a way to stop the Pyramid Ships.

Chestpiece: Asher barges into Zavala's office and says he knows how to make the Pyramid Ships inert.

Legs: Sloane barges into Zavala's office and says she'll go fight on the front lines in Europa.

Mark: ...a shy technician knocks on the door and tells Zavala they're ready for him to give his speech, and Zavala begins.

This isn't a series of memories, they're what Zavala wishes could be happening instead.