In my opinion, most companion cards have the strongest permanent effects in game, so it's often hard decide which ones to include. However Leo is easily the best of the companions.
If you compare leo to Beat Cop or Cat Burglar, they basically save you actions. Beat cop allows you deal 1 damage as free action (which is like killing enemeis with 1 HP for free), while cat burglar allows you to disengage from all enemies (with no check) AND move to a connecting location (which is 2-x in 1 action). However they both have strong limitations. This is where leo shines, as you can use the extra action for anything, including the above mentioned things.
- Regarding hist cost. As he's a rogue card, the owner can use Burglary to gather ressources, if you draw him later in the game.
- Leo is unique (asterisk in front of his name), like Dr. Milan Christopher, so only 1 player can have him on the board at the same time. So if wendy and skids are part of the same game, only one of them can have leo in play. Here i'd recommend to replace him in skids deck with beat cop. Skid's character ability can compensate for the lack of leo.