How to reproduce:
1. Create a game object, assign it an "Animation" component (Legacy Animation)
2. Open the Animation Window
3. Create a new animation and begin recording to it
4. Rotate gameobject in scene view
5. It adds Keys in animation
6. Right mouse click on rotation property -> Interpolation and notice that it creates Euler Angles (Not fully supported in Legacy). As Eulers aren't properly supported by the Animation component, the Curve should default to "Euler (Quaternion Approximation)"

Workaround:
When creating animations, one should add rotation property via animation window, then it created Euler Angles (Quaternion)