You may find that the 'Advance' ticket only specifies the train from St. Pancras to Leicester - I know its not the same company/destination but when I book Advanced first class Gatwick to Bristol via London the ticket is good for any Gatwick Express train to Victoria, for the Underground and then only limited to a specific train for the final leg. If you try a dummy booking you may find you can get similar flexibility (and the price will be much lower...).