Hey, To receive the completion rewards, every mission in the campaign must be completed in legendary difficulty. If you're referring to your warlock, it seems you have not completed the first mission, "The Arrival," with them in legendary difficulty. Use the node in the Throne World director map to launch and complete the mission, and you should be able to pick up your rewards from Ikora in the tower after.
I completed it and it’s not showing any progress. I got all of the achievements but can’t access any dungeons did not get the gear nor the exotic.
If you completed the campaign in a fireteam, it's possible you skipped an NPC interaction that was required to progress the quest. You will need to continue the campaign from that step and complete it to be able to claim the completion reward. As you've already completed all the mission in Legendary difficulty, you can just complete them in Classic this time around. That might speed things up a bit.