I've stayed in several "Leading Hotels". They tend to be the grande dame properties in Europe. It's a loose affiliation, to give indepedent properties a way to market themselves. I do not believe that they give any FF miles.

However, such hotels often have several affiliations. You should check to see if the individual property is a member of another group. And, if not - heretical here on FlyerTalk, but miles aren't everything. These properties tend to be some of the finest, offering very pleasurable stays.