[whi]thorgrim grudgebearer[/whi]

Does the term "Leaves Play" mean that they can sacrifice a Dwarf unit and use the action from the legend card?

A card is in play when it is in any player's kingdom, quest or battlefield zone. Out of play are the decks, the discard piles, and the players' hands. A "leaves play" effect is triggered when a card goes from an in play zone to an out of play zone. Thorgrim Grudgebearer's action can therefore be triggered when a dwarf unit you control is destroyed or sacrificed and put into its owners discard pile, returned to his deck, or returned to his hand. It doesn't allow you to just sacrifice a unit though, that has to happen through another effect (like Grudge Thrower, or Veteran Slayer's effect, among many others).