If a Legion or Horde is activated but cannot move closer to its target (for Legions) or The Capital (for Hordes) due to impassable terrain or blocked hexes, the following applies:

• The movement step instructs you to move the Legion or Horde 1 hex closer to its target, but specifically states: "Legions can not cros impasable terain" (page 54) and "Hordes cannot cros impasable terain" (page 55).
• If a Legion or Horde is on the same hex as its target (for Legions) or cannot move any closer (for either), it does not move. The rules for Legions state: "If a Legion is on the same hex as its Target, it does not move." (page 54).
• There is no rule that forces a Legion or Horde to move if all possible paths are blocked by impassable terrain or if there is no legal hex to move into.

Summary

If a Legion or Horde cannot move closer to its target or The Capital due to impassable terrain or blocked hexes, it simply does not move during its activation. It still performs any other steps of its activation that are possible (such as placing a Garrison or Curse).

Source: page 54 (Legion activation), page 55 (Horde activation).

Source: Core Rulebook (pp. 21, 27, 47, 54, 55)