There are some legendary formations that come with heroes that are not in the epic hero list.
So, the question is, can these heroes ( sharku for example ) leave their formation to join another?

This came up in a game and I said he could not since he is not listed as an epic hero and sharku is more like a captain.

What about a legendary formation? Can you take the 9 abroad and have them all leave to join different formations?

Once again I say no but they are listed as epic heroes as well.

Thoughts?

As you say, no, nothing in the rules that would allow that.

I agree with Hithero ( and the rulebook). But to answer your more specific question. No, the nazghuls in Nine abroad cannot leave their formation (nor can anyone else for that matter).