An important distinction to make here for those coming aboard the old Psycho Brigade's mission- and maybe a refresher for the Psychos themselves. Rather than the stuff of legends, the warrior Rallo was an unimportant no-name trained in the Dark Side. Whether he simply lacked the talent or the Jedi cut his career short, he never became a full-fledged Sith Lord.
Regardless, Xavier and Rianna can fill in their audience that Rallo and a legion of Sith shocktroopers assaulted the jungle world of Vorkuda in ancient times, to wipe out a small Republic outpost in a contested region of space during the last Sith Wars. Said outpost held one of the Jedi Order's remote meditative temples, staffed by a quartet of powerful Jedi Masters. Impressively, the Masters held off Rallo's forces and defeated the Dark Jedi. They then utilized him in a virtual reality experiment attempting to convert him to the Light Side of the Force. Ultimately, they deemed this experiment a failure and left Rallo's mind trapped in the virtual reality device- a sort of mental prison.
Long story made short- the actions of the Psycho Brigade accidentally released him, while trying to hunt and kill Sael, a wannabe Dark Jedi who Rand deemed too weak to join your bunch.
Rallo's body having long-since decayed to dust, he currently co-inhabits Galder's mind.
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Con raises an important point nonetheless. Where would Rallo go? Much has changed in the Galaxy since the Sith Wars.
He also hits upon something Xavier had thought of as well. You have Dak's transponder codes, but lack the means of tracking the Black Dawn across the Galaxy... whereas a certain organization hell-bent on your destruction possesses those sorts of resources in the form of a Galaxy-spanning network of satellites and sensors.