Immortals are replacements for Swordsmen first and then become a cheaper alternative for MI later on. My question is, why aren't Legions treated the same? Or Gallic Swordsmen, for that matter.
A Golden Age can only be kicked off via two routes: First, by building Great Wonders that correspond to both of your civ traits (ie. Industrious/Religious). Second, by having your Unique Unit win in combat.
If you never build wonders corresponding to your civ traits, you will not get a Golden Age.
If your unique unit never engages and wins in combat, you will not get a golden age.
In order to enable your civ to have a golden age, the game allows you to continually build your Unique Unit until you finally do trigger your Golden Age. Once your GA has been triggered, you will no longer be able to build your Unique Units, unless it is has not been made obsolete by another, more high-tech, unit.
For instance, if a Rome player builds some Legions and one of them wins in combat in 3000 BC, the Roman player will be able to continue to build Legions until the discovery of Feudalism, at which point he will not be able to build Legions anymore and will be forced to build Medieval Infantry, as that unit replaces the Swordsman/Legion unit.