It's made clear in a number of the HH books that Russ and the Wolves had already been unleashed on another Legion before the Thousand Sons.

In Fear to Tread, we learn that the 2nd "missing" legion was somehow genetically flawed and wiped from existence. Sanguinius makes that pretty clear in the first 50 or so pages.

We know the high level "What happened to them." What we're missing now is the specifics. A legion of Psykers already pretty much exists in the Thousands Sons. That wasn't even an issue prior to the Council of Nikea, so it's doubtful that "being psykers" was their genetic flaw that caused them to be eliminated.