Legacy Leech theory: Qij-na the Shattered
by RipvanwormerDragon #357 (page 67) name-dropped Qij-na the Shattered, who was among seven demon lords who joined together to defeat an obyrith (an elder demon) called the Malgoth. Away from their centers of power, the demon lords' rivals took the opportunity to assassinate or imprison each member of the alliance.
There's no other canonical information on who, exactly, Qij-na the Shattered was, but what if it was literally shattered by its rivals? The shattered fragments of Qij-na, lost and stranded on another plane but still intelligent beings in their own right, discovered that Legacies give them enough power to return to the Abyssal layer that Qij-na once ruled, where, with access to some of their old, lost power, they can begin the process of pooling together and reforming as Qij-na.
I'd make Qij-na the demon lord of weapons, with some of the iconography of a shattered sword. In its true form, it resembled a legacy leech: a much larger, writhing slug-thing with writhing tendrils, each tendril capable of forming any kind of weapon it could imagine, dwelling on an Abyssal layer where the very vegetation naturally formed into hooks and spikes and blades. With such an inhuman form, it's not impossible that Qij-na was also an obyrith, like its enemy the Malgoth. Qij-na was once worshiped by a cult of weaponsmiths and warriors who honored their patron by slaughtering their opponents and using trophies torn from their corpses to create new weapons with which to honor their demon lord. With their patron's defeat and exile, the old shrines were abandoned, identified with the symbol of a broken blade as a last act of devotion and remembrance.
Perhaps, as the demon lord of weapons, Qij-na and his cultists had a particular interest in the possibilities of Red Steel, and so the cult thrived on the Savage Coast in an earlier, more savage time (maybe among the Azcans?). Some dark temple there may have been infused with enough blood and sacrifice to Qij-na that it attracted Qij-na's remnants as the demon was torn asunder and flung from the Abyss into the Astral void.
The Harmonium could be linked to this plot too, as the Harmonium despises demonkind and would be particularly offended by a demonic force corrupting their source of valuable Red Steel armor. Or they might have discovered Red Steel in the first place while tracking down sources of Abyssal corruption in the planes. Perhaps they first discovered it after noting some demon-tainted metal had found its way to Sigil. I wouldn't personally make them responsible for Qij-na's banishment, though that's another possibility.
And perhaps there are there are still those on the Savage Coast who remember the Shattered Sword and seek to aid the legacy leeches in reviving their fallen patron.