I guess that Illidan and other champions + us are fighting on the front line, while Anduin and Velen acting as commanders sitting behind leading the army. The leaders of an army don't always need to be a frontline fighter after all. They are in Exodar similar to how KJ is sitting in his place directing the Legion to fight us. Since all the threat on Azeroth would be cleared by then, they need to travel around using the dimensional ship.
As of whether he was talking about the Legion or the Void, joking aside, I'm curious what's the implication of that last page (hoping it wouldn't be just "Well, the artist thought it'd look cool, so he drew it as such, don't read too much into it"). Assuming Anduin didn't age by magic, that'd mean the fight with the Void (or Legion) wouldn't be finishing in the next 30-40 years. Unless we get a massive timeskip or Blizzard decide to let us time travel to the future, there is no way that is going to be done within WoW lifespan. However, I doubt Blizzard is going to end WoW with an unfinished story, it just wouldn't make sense even if they are to carry it to the next RTS.