The Perdition Destiny 2 Lost Sector is an easy-to-miss cave found on Europa, and because it's tied to the armor quests that Variks assigns you throughout the Destiny 2: Beyond Light campaign, you'll want to find it sooner or later. Perdition isn't marked on your map by default, but it's easy to find once you know where to look. You'll find it along the northeast wall of Cadmus Ridge on Europa, which you can see marked in this screenshot below.
This screenshot also shows my character inside Perdition directly in front of the chest required to finish the Europa Legs quest. As you can see, the chest is found a ways inside. The good news is that once you've found the Destiny 2 Perdition Lost Sector, you've essentially found the chest. The Lost Sector is linear and its halls are fairly tight, so it's virtually impossible to miss the sealed chest while running through.
The bad news is that the enemies in this Lost Sector can be pretty tough, especially if you're just starting out in Destiny 2: Beyond Light. They're around 1200 Power, so they'll likely show up as sword or skull-grade enemies if you pursue the Europa Legs quest as soon as you get it. Fortunately, you don't really need to kill them. You can avoid most enemy fire by staying airborne (or using invisibility as a Hunter), so you can rush through Perdition just to get to the sealed chest. The Europa Legs provide a tidy little Power bonus, so it's worth plundering Perdition sooner rather than later.