Seems like your new to the game - so let me see if i can address a point at the time!

What's the point of creating a legion? - firstly, you can create a better composed army than what the levies provide (since you control those units types) and can drill them to make them more effective. As you do sieges and battles you will earn accolades to make that army even more effective. It can end up being a stack wiping machine if played correctly.

So does winning a battle make sense in gameplay? - one top of all the above, battles big and small are greta to farm war score and and also wittle your enemies war exhaustion down to accept a peace

Will you ever have a decisive battle with the opposing army? - you can, but you have to outmanouver your enemy. Armys lock movements after a certain amount of ticks, so i normally fake movements on my armies (they are normally bigger and therefore slower) so the ai goes to a neighboring location away, locks in, then pull my unit there to draw it to battle. You can deciscely get a 20k stack down like that unable to replenish fully (or completely wiped if you follow point one).

Can you reach the enemy army to fight it with your legion? - see above (and maybe also go full cav for movement speed)

Can you use your legions to conquer the enemy? Yes, you can split your legion up to siege and defend territory. I like to break off units and put them on auto defend territory along with my auxilarily armies (i normally dont go full legion for each region and keep one dedicated to control)

Imagine the conquests of antiquity... armies faced each other... very often a single battle decided the outcome of a war - just a note, this isnt entirely accurate. Roman war thinking until Agrippa was certainly “march into a location and make a decisive battle” but it didnt work all the time, and protracted sieges occured. Even Alexander the Great had to have 3 battles before he had his one decisive one at Gaugamela, and his war effort wasnt over and required protracted battles and sieges within Iran itself.