So I’m a relatively new player and have not found any pets with worthwhile stats so I’ve just been using hounds because of the gold pickup. I got an imp from an enslaver recently, set my pickup to legend+ and started using him. He never seems to give very good conversions. He will pick up a mix of epics and rares and throw out another rare. Does he ever give out good things? And if so is it frequent enough to be worthwhile? Do items he picks up count towards the feats in the codex? And lastly, does his rarity have any effect on the probabilities? I searched imps up, but the only thing I could really find about them was complaints that the animation used to be way too slow.

Yes they drop legends, although it likely requires you have decent amounts of luck affix. Play mythic 3 difficulty for a nice boost to Luck.