Should be tagged female also, or better yet, neither. The character is supposed to be non-gender specific. There are plenty of pieces of evidence for each claim to male/female status. Male-only item move (flare and mace), female hair customizations, characters in the Scenario Campaign Mode refer to Leo as both "boy" and "stupid girl". The person who refers to Leo as a girl is Kazuya, who is the only person who could actually feasibly know (because he killed Leo's mother). Even so, that doesn't make it evidence to support the claim.
Add the female tag, or take the male tag off. But it can't be one without the other, because it is just so vastly incorrect to assume either gender for Leo.

In fact, in Japan, Leo Kliesen is a girl. On PS3, she is known as a guy and on PSP, they fixed it and she is known as Miss Kliesen. o/

Hmm, reading this makes me wonder if it'd be appropriate to have an "androgynous" tag for such characters.

Or maybe not, I don't feel like bringing up the topic in the forums. In any case, at first sight this character did looked male, only after closer inspection (after reading the comments) did I realize that indeed, this could very well be a female :o reverse-trap?