Playing as Lux legend, if I play Falling Comet to a battlefield and the opponent plays Retreat to return the unit to their hand before Falling Comet resolves, do I still get to draw 1 for the legend? Or since the spell doesn't resolve, I don't draw?

Yes, you still draw a card.

When your opponent plays Retreat in response, the targeted unit returns to hand and is no longer a legal target. Falling Comet still resolves — it just has no effect on that illegal target (Rule 359.3.e.1, 359.3.e.6). A spell that resolves to no effect is still considered played (Rule 359.3.e.10), which is what Lux's Legend checks for.

This is different from a spell being countered (e.g. by Wind Wall), which prevents resolution entirely and would deny the draw — but Retreat doesn't counter, it just removes the target. The spell still goes through the full resolution process, so Lux triggers and you draw 1.