Leo is kind of an empty character, really. He isn't seen in the game often and serves mostly as a (nigh completely unused) juxtaposition to Kefka. His conversation with Terra on the boat is appreciable enough, but that's all he's got.

Conversely, while I don't have strong memories of Beatrix (or most characters in 9, really), she is more present in the game, and her and Steiner fighting together in Alexandria was a pretty cool moment, so I prefer her.