If I play Wages of Pain on a Kai'Sa and then Arcane Shift, and then they play Retreat which is reaction speed, do I proc Ezreal's legend which has to choose twice in a turn to draw? Even though Kai'Sa got retreated?

Yes, you can activate your Ezreal legend ability in this scenario.

According to RiftJudge FAQ #8979 (which discusses a similar interaction with Wages of Pain and Defy), the requirement for Ezreal's ability is satisfied at the moment the spell is played and targets are chosen, regardless of whether the spell subsequently resolves or is countered/interrupted.

The Sequence

1. Playing Wages of Pain: You play Wages of Pain targeting an enemy unit (e.g., Kai'Sa). You make the choice of an enemy unit at this time. This counts as one of the two required choices for Ezreal.
2. Reacting: Your opponent plays Retreat in response, targeting Kai'Sa.
3. Resolution: Retreat resolves first, returning Kai'Sa to their hand. Wages of Pain then attempts to resolve. Even though the target is now illegal, the choice was already made, so the requirement for Ezreal is still satisfied for that spell.
4. Playing Arcane Shift: You play Arcane Shift. As part of playing this spell, you must choose an enemy unit to deal 3 damage to. This counts as your second choice for Ezreal.
5. Activation: Because you have now made the required choices of enemy units with spells twice this turn, the condition for Ezreal's legend ability is met, and you may exhaust him to draw a card.

Key Takeaway: The "choice" requirement for Ezreal is locked in when the spell is placed on the chain. As long as you successfully played the spells and made the required targeting choices, the fact that the units were later removed or the spells were interrupted does not invalidate the progress toward Ezreal's activation requirement.