Context: https://en.wikipedia.org/wiki/Legio_IX_Hispana

The legion's disappearance is also the subject of the polarising 2010 film Centurion.

The Scots happened to it!

Yes ! Context ! The 🐐

They fought at the siege of Terra and went nuts after their primarch died, the curse haunts them forever more.

That is classified information for inquisitorial eyes only. Remain where you are and prepare to be servitorized.

stationed in Britain

Well there's our answer. Scotland!

For more information on this, watch the 2011 documentary The Eagle.

They followed one of the lost Primarchs.

They were corrupted by Chaos and cast away into the warp.

Everyone wants it to be a military disaster, but that sort of thing tends to leave more evidence than we have. I've always felt some kind of boring bureaucratic end is more likely.

Laughs in incomprehensible Scottish noises

They went through an interdimensional portal in order to help a bunch of Celts stop an invasion of light eating alien monsters.

Can we knight this OP for actually providing context??

They're in Alera with the Pokemon, Zerg and Khajiit!