Apply button does NOT work with the legendary cata daggers, keeps playing the sound like it applies but does not. If I change to a normal other dagger it applies fine.
Edit: credit to Saimeren for the solution:
Rogues, when selecting your legendary, right click the picture in the menu and choose the other option. You can only mog the left hand into the left hand and the right hand into the right hand. When you right click the picture, the drop down menu shows up and you have to select the main hand separately.