LEGO is supposed to be used as an attributive noun. LEGO is the brand, not any tangible item, and is used to describe a noun, such as LEGO piece, LEGO element, LEGO set, LEGO brick, and so on. You wouldn't say "LEGOS" because that implies LEGO is a physical object that there can be a piece of. It's the brick, set, factory, headquarters, and so on that are the physical items; LEGO is just the brand of these items.