For those of you who haven't figured this out yet, the pyro will appear for your CAW when your legend progress reaches 90%. Sucks that it takes that long, but that's what happened when I reached 90%, my pyro finally started working. Also with the entrance video, I think it's approximately 30% before that appears for your CAW. Honestly, not completely sure on the video, but definitely sure for the pyro. Hope this helps.