Mulley is pretty much right. With the right stats, Shock would be a game-breaking ability - an attack that potentially deals 9,999 damage to all enemies in a single attack without using MP. I've always looked at Leo as being like Beatrix - an awesome character who was far too game-breakingly strong to be a member of your regular party.
That said, yes, if he were a party member I'd use him regularly. Same with Banon, whose ability would be similarly gamebreaking (free heal of all party members? Again, potentially gamebreaking, especially if his magic ability could be raised to where he could heal 9,999 MP to all four party members).
Though, let's face it, FFVI is already pretty broken. Osmose basically makes MP meaningless anyway.