I think we all feel this way, but it all comes down to personal choice. You have 2 options 1) Build your own legacy - if you're successful, you are the guy, you get the statue, your jersey retired, a weight room named after you (Suh), your name becomes immortal; doing so allows you to fully shine and exhibit your strengths and your faults. If you're successful the world knows its mostly on you. The flip side is if you don't get it done, there is nothing to mask your deficiencies, no legacy that provides your the benefit of the doubt, and failure (even being mediocre is failure in this sense) leaves you another name in a string of forgettable disappointments. 2) Be part of someone else's legacy. Continue the greatness. If you're successful you enter the conversation of the best of the best, you won't get a statue, and you'll be the guy during your tenure then someone else will be they guy. Your name, even if successful, is added to the collection of greats- think of our glory years - Turner Gill, Tommy Frazier, Scott Frost, Brook Berringer, Eric Crouch our collection of greats. You have to rise to that level to get mentioned. A Steve Taylor, Gerry Godwolski, Mike Grant, Jammal Lord, Joe Dailey, and Zac Taylor, while experiencing degrees of success in their own right, are often lost within the list of greats. When joining a legacy, people will wonder if its your talent or the talent of those around you that led to success, slightly dimming your strengths, but a strong cast and culture around you will also help to mask weaknesses. Your value on the transfer market, should you get beat out will remain high due to perceived strength of the room, and should you win the job but not rise to the level of the greats you'll be given the benefit of the doubt come draft time.
So there are definitely positives and negatives to both, there is more pressure on the individual who chooses to build their own legacy. There is greater risk if you fail, but also far greater reward if you succeed. Some people aren't cut out for that much pressure.