My group doesn't ever really play with leaders. We find they add complexity without adding much to the game. I also feel that the mechanics for killing and capturing leaders are really bad.
The only reason I have for playing with them is that the agents give some races much needed access to sabotage. Particularly the saar who can be completely crippled by a signal jamming if they don't have a sabotage.
Does your group play with leaders? why or why not