I know this because your CV says so, and I know you would not lie to me. But do I believe you ? Do I care ?
If your current job involves telling people what to do then that is leadership, and of a rare and precious kind. Leading and managing quants is like herding cats, and if you an do that you have earned my respect.
If you are at entry level, I get worried, and occasionally entertained by claims of "leadership". It is clear that some careers advisers push this concept, and perhaps in some industries it looks good, but not in banking and certainly not to me.
Some people have led men in battle, or at least in hazardous and unpleasant conditions. That's pretty rare in American and British quants, but in countries fuckwitted enough to still do conscription, it is a plausible way to have learned leadership.
Although I'm some dumb ass pimp, decades ago I got some sort of education, and remember what it was like to be a student and try to get my classmates to cooperate in any task.
But I have to say I apply a discount factor to "leadership" gained in university clubs. A bigger discount if the "L" word is actually used.
Leadership in a summer or part time job is extremely hard to express without looking like you are bullshitting on a grand scale, and sadly most people fail at least partly on this, wasting space that could be used for something useful (and believable).
Part of leadership is the ability to work without someone holding your hand, telling what to do and how to do it. This is a significant factor in why there is a premium for PhDs even when the stuff they study is entirely unrelated to investment banking.
Up to Masters level you are mostly a taught person, and so I and your hiring manager are uncertain whether you can work on your own, but at the same time not too much on your own.
Leadership in this context means being able to lead yourself, and maybe others will follow. If like me you've actually had leadership training, then you will know that you can take charge of a rabble sometimes merely by clearly expressing a reasonable course of action.
The other problem with the L word is that without care you look as if you are arrogant. The idea that you will be "difficult to manage", or worse "arrogant", can hurt your cances of getting a job, and is expressed to me by managers as a reason they are reluctant to hire an otherwise good candidate.