Leo is mostly an all-rounder character, slightly above average combo damage, no overwhelming pressure in neutral, but their strongest aspects are their stances and wall game.
Leo's stances is an extremely important part of their moveset. Most importantly, KNK has a hitbox, and is +8, enough to bait for KNK 2 counterhits. BOK is also very good, but has less mixup potential than KNK, between mids and a tracking high that are plus on block, an opponent is likely to just block high.
Leo does great wall damage, and has several setups to trick the opponent into eating more damage if they choose the wrong option, or doing even more damage for opponents who are too patient and lay on the ground hoping you whiff something. Even against the wall, f, f+1+2 is a high command throw that can splat the opponent on a wall behind you.
Beyond that, Leo has very long reaching powerful moves. Both d/f+2 and d+1 are very strong options, as d/f+2 is a launcher that hits at range 2-3, while d+1 is a similarly far reaching move that is basically tracking, and leads to a combo on CH. Leo's range also extends into the crouch dash, that has fantastic options like a tracking low, and a mid that hits around range 3-4.