Full legend functionality has not been implemented in ArcGIS Pro yet, so there will certainly be some differences in some cases. Just as an example, ArcGIS Pro doesn't have the ability to display feature count yet, or to limit classes to only those in the current extent. Those are just a couple of examples, there are others as well. More functionality should become available in future releases of ArcGIS Pro.
When you import an mxd, you should see an asterisk added to the Notifications part of the Project pane. If you click on Notifications and then click to see the result one of the messages should tell you the appearance of legends may have changed. It's a known limit at this point, which we hope to improve over time.
