BCGControlBar Pro for MFC
void CBCGPChartVisualObject::SetDataPointLegendLabelText ( const CString &  strText,
int  nDataPointIndex,
int  nSeriesIndex = 0 

Sets custom legend label text for the specified data point.

Also you have to enable displaying data points in the legend (for some chart types like Pie it's enabled automatically):

// Usually you don't need to set this flag, it's TRUE by default

Of course, the series also must be included in the legend:

CBCGPChartSeries::m_bIncludeSeriesToLegend = TRUE; // TRUE by default.