Is it a possibility in OL to add a legend (symbology) directly to (under) particular layer (not only switch on/off the layer)?
This functionality is not available in OpenLayers trunk. Other toolkits -- such as GeoExt -- or other extended functionality -- as demonstrated in the previously-linked sandbox -- may provide this functionality, but none are available in the stock/base OpenLayers install.
Assume in the Legend [Table of Contents/Layers] you still want to show map layers with on/off switch but with the symbology of each under each one.
View Source reveals that it is using Web Map Context (WMC)
(XML is 'hidWMC' at bottom of source code)
Try recreating the example then change for your requirements (content)