"They" is not grammatically incorrect, it is a gender neutral pronoun.
Say, I don't have any evidence supporting that you're either male or female. Thus when I write content pertaining to you, I should use gender neutral pronouns like "it, they, they're, their" that can also be used when there are multiple individuals relating to the text.
So the premise of your statement is incorrect; if the subject has no gender or their gender is unknown, "they" is used as a pronoun.
'They are coming" probably means that Riot is introducing a gender-less champ, likely a monster or a force of nature, or a champion with multiple individuals.