Now do you have to have the Odyssey speed control on or off when you doublehead?
That depends on what year the TMCC locomotive came out. If my memory serves me well, locomotives that were made with RS 4.0 and 5.0 were equipped with Odyssey speed control 1. Whereas, everything below did not. For legacy locomotives, it does not matter since they were upgraded with Odyssey 2. Long story short, I would say yes, you do need to keep the Odyssey speed control on in order for both locomotives to operate in sync.
Also, since you have a cab 1 command base the Legacy locomotive should automatically be programed as a TMCC locomotive. As stated in another comment, you won't be able to get all of the features of a Legacy locomotive; one of those features being the 200 speed steps.