Trying to get people not to use the obvious plural is silly, but the insistance on all caps bothers me even more. It's right up there with Yahoo's exclamation mark. The convention is that everyone will call you, usually, by the name you choose, but demanding that other people use your preferred typographical novelty is lame.
This may be a regional thing? I've always used "Lego" as a mass noun as in "I'm playing with Lego". The pluralization "Legos" sounds weird to me.
As someone who spent a ludicrous amount of time during my childhood playing with <i>Legos</i> and always referring to them as such to friends and family, I really don't appreciate this "request". I'm quick to correct my ways when I realize that I've been mispronouncing or misusing a word, but when we're talking about a children's toy brand (however cool it may be), let's just all take it easy.
The title for this link needs to be fixed. It's a question with some answers, and very few of the answers reflect the position stated in the title.