I did the Praetorian path and it was awesome. Not going to include too many details because that will spoil your fun, but yes, the Praetorian missions are definitely worth playing through. As a Praetorian you are basically half emperor's secret police and half elite unit, and Maxi did a very good job conveying that with missions. There's putting down riots, covert and overt murders of emperor's and empress's political enemies, including some from history, you get to lead an expedition up the Nile to explore Africa, and other stuff.

How was the legion side (without spoiling too much)?

The legion path begin as mere recruit. First a centurion will greet you in the antique military roman way then you train with your assigned parner then it goes as a mini story mode with options to choose from similar to viking invasion story mode. The decisions you made does matter but I dont know at what degree so choose with care hehehe. Once you been promote to optio (the lowest officer rank) you will be force to make decisions whether to help civilians to dicipline your fellow soldiers, choose sides civilians or soldiers, commander or the army (morale, mood, dessertion, mutiny etc.) It is very fun to play to me it lasted 126 days until i was promoted to militaris something...., I reccomend you to try it out.

You can (basically) finish wholly both legion and preatorian questlines, you just need to decide to remain in legion, finish its questline (it should end around your prelast rank) and then ask your legate to give you motivation letter to the preatorians (or something like that).
Then you will cease to serve in the legion and join as lowest rank preatorian, allowing you to climb in the ranks again and do preatorians questline.
I did exacly like that and was allowed to fullfill both questlines. Without any bugs.