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It seems you found a very interesting issue here. I've tweeted to Kent Marten who is among the leaders on Maps development about this.
Meanwhile you could do something like this: In a new sheet, add your dimension to detail, your value to color and pick the Square mark. It will build a bunch of quares. If you sort de Dimension by your Measure then they will be sorted from light to dark. Then add labels to MIN and MAX and I believe it will be pretty close to a color legend
I hope this helps.
Hi Rodrigo - this work around totally worked. I actually used the color legend card from this second worksheet and floated the squares out of the view. Hopefully we'll see the color legend added in 2019.1.
Quick amendment to the original question and answer. This work-around worked great for maps where I have a common data element to group on (like zip codes, FIPS, state, etc.) but doesn't work when if you are creating a density map using spatial data. I have geocoded addresses in a data set and the density map looks great but I don't see a way to create a similar legend since I can't really group on the spatial field the same way I can with something like zip code. Anyone have any ideas?