What is the leash?
By Anon.
What is it for, where does it attach to?
That's not a leash so much as a cable that'd designed to keep sticks from getting caught between the frame / engine case and the brake pedal. You don't need to use it in order to install these pedals, but it's a good thing to have if you ride in the woods. The loose end is to be attached to your bike's frame or anywhere available in a workmanlike manner.