Now we have Legendary as part of the application so it is not needed to download or install it again. But you still need xterm for now. I'm looking for a way to have a terminal inside the app as well.
I also built packages for Debian, a compressed file in tar.xz (just extract and run the heroic bin), and a Pacman package for Arch Linux.
I'll add an RPM package soon as well, but for now, just use the AppImage or extract the tar.xz file.