Peter,
I am not familiar with the rules for the U.K., but to come to the U.S. at that time period one needed a visa issued by the U.S. Perhaps Leopold needed a visa for the U.K., and that paperwork would shed light on how he came to England?
Did Leopold naturalize in the U.K.? In the U.S. naturalization papers (especially post-1906 give good entry data.) His naturalization papers may contain some clues.
Regards,
Sherri Bobish