legend

legend(locator(1), month.abb[1:5], fill=T, col=1:5)

gives me 5 black boxes.

Try:

legend(locator(1), month.abb[1:5], fill=1:5)

What am I doing wrong?

The "T" is interpreted as (equal to?) a "1", so you're requesting the 
boxes to be filled with color 1, which is black.

  - Hedderik.