Not sure but try...

s = "iT_Legend" & CStr(i)

.. that is, change the integer  to a string  explicitly.

Let us know.

To adjust your macro the least, try something on these lines:

For i = iRetCodeMin To iRetCodeMax
s = "iT_Legend" & i
Set sName = UserForm1.Controls(s)
sString = Application.WorksheetFunction.VLookup _
(i, Range("RetCodes_Lookup"), 3, False)
sName.Caption = sString
Next i

If it's only the caption  you're changing you can dispense with
creating an object  (sName) and the variable  's' thus:

For i = iRetCodeMin To iRetCodeMax
sString = Application.WorksheetFunction.VLookup _
(i, Range("RetCodes_Lookup"), 3, False)
UserForm1.Controls("iT_Legend" & i).Caption = sString
Next i

perhaps even shorter by dispensing with sString:

For i = iRetCodeMin To iRetCodeMax
UserForm1.Controls("iT_Legend" & i).Caption _
= Application.WorksheetFunction.VLookup _
(i, Range("RetCodes_Lookup"), 3, False)
Next i

The object  (sName) extra variables (sString & s) where all feeble attempts on my
part to try to get the code  to work.

Your final, simplified suggestion was exactly what I was trying to accomplish!