My opponent plays a spell, I countered with Not So Fast, does my opponent keep the keyword legion activated or do they need to play another card?

Yes, your opponent keeps the Legion effect active for the rest of the turn, even though their spell was countered.

According to RiftJudge FAQ #9463 and #9461, the Legion condition is satisfied the moment a card is Finalized on the chain.

The Sequence

1. Playing the Card: Your opponent plays a spell. It is placed on the chain as a "Pending Chain Item."
2. Finalization: Your opponent chooses targets and pays all costs (including additional costs like Deflect). The card becomes a "Finalized Chain Item." At this exact moment, the Legion condition is met for the turn.
3. Reaction: You play Not So Fast to counter their spell.
4. Resolution: The counter resolves, and your opponent's card is cleared from the chain (per Rule 425.1.a).

Even though their spell was countered and did not resolve, the requirement for Legion was already satisfied during the Finalization step. Therefore, any Legion abilities on cards they play afterward that turn will be active, and they do not need to play another card to satisfy the requirement.