If my opponent plays Vanguard Captain to a battlefield they control and I use Gust on it, what happens to the recruit tokens? Does the timing of when I use Gust matter?

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If your opponent plays Vanguard Captain and you Gust it after the Captain's “When you play me” (Legion) ability has triggered (i.e., the trigger is on the chain), the Gust returns the Captain to its owner's hand but the Legion trigger still resolves and plays the two 1 [M] Recruit tokens to that battlefield. The timing only matters if you somehow play Gust before the Captain's play ever generates its Legion trigger; in that case no trigger exists to create tokens.

If Gust is played in response to (or after) Vanguard Captain has been played so that the Captain's Legion triggered ability is on the chain, Gust can return the Captain to its owner's hand and the Legion trigger will still resolve later and play the two 1 [M] Recruit tokens to the battlefield where the Captain was played. The only way the tokens would not be created is if Gust were played early enough that the Captain's “When you play me” trigger never existed to be placed on the chain.

Opponent plays Vanguard Captain to a battlefield. That action creates its Legion triggered ability: "When you play me, play two 1 [M] Recruit unit tokens here." Players get an opportunity to add Reactions/abilities to the chain. You may play Gust as a Reaction targeting the Captain while the Legion trigger is on the chain. If Gust resolves before the Legion trigger, it returns Vanguard Captain to its owner's hand. The Captain leaving the battlefield to hand does not retroactively remove the Legion trigger that already exists on the chain. When the Legion trigger resolves, it carries out its instruction and plays two 1 [M] Recruit tokens to the battlefield referenced by the trigger (the battlefield where the Captain was played). Those tokens enter as defined by rule [184.1].

If you somehow played Gust early enough that the Captain's "When you play me" trigger was never created or placed on the chain, then there is no Legion trigger to resolve and no tokens will be created. The provided Core Rules context does not fully specify the exact micro-timing for trigger creation versus the window to play a Reaction, so this is a possible but uncommon timing path. If an external Replacement Effect or a game effect (not present in the provided context) replaces or prevents the creation of the Legion trigger, that could stop the tokens from being played. Replacement Effects inherit modifications as described in [375]. If control of the battlefield were to be lost before finalizing the tokens and no chain item prevented that loss, you might not be able to play tokens there. However, the examples in [FAQ:unleashed#16] explain that having the relevant item on the chain prevents losing control while finalizing plays to that battlefield.

The key points are that Vanguard Captain has a triggered Legion ability that says "When you play me, play two 1 [M] Recruit unit tokens here," and Gust is a Reaction that can be played "any time, even before spells and abilities resolve" to return a unit with 3 [M] or less to its owner's hand. In normal play, when Vanguard Captain is played that Legion trigger is created and placed on the chain; players can then add Reactions such as Gust. If you Gust the Captain while that trigger is on the chain, you can return the Captain to hand (it’s a legal target while it has 3 [M] — see [359.3.e.4]). Returning the Captain does not erase the Legion trigger already on the chain. When that Legion trigger later resolves it still instructs the controller to play two 1 [M] Recruit tokens to the battlefield referenced by the trigger; those tokens are 1 [M] Recruit tokens as defined in [184.1]. The provided clarifying examples show the same principle for playing/ finalizing units or effects to a battlefield even if the original unit was removed while an item is pending on the chain ([FAQ:unleashed#16]). Therefore, in the typical and most common timing, the timing of your Gust (so long as it is after the Captain's play created the trigger and before the trigger resolves) does not stop the two Recruit tokens from being played to that battlefield. The only scenario in which no tokens are created is if Gust is somehow played before the Captain's 'When you play me' trigger is ever created (or another effect prevents the trigger from being created) — the provided Core Rules context does not give full micro-timing details for trigger creation versus the opportunity to play a Reaction, so that is noted as an assumption/edge case.