All your crazy theories concerning this show.
Leo is going to eventually fall in love with Kaoru causing friction between him and KougaGoing to go ahead and say it: Leo has a crush on Kaoru. From the moment they met, Leo has had a way of looking at and interacting with Kaoru that appears rather more OTP-ish than being simple aquaintances. They spend time with each other outside of Makai business, she happens to remind him of a loved one from his past, and they even have their own "romantic" theme music whenever they are having a moment together. Add in the brush scene from Makai Senki episode 7 or the hand-holding scene from Makai Senki episode 10 (along with 90% of that ep), and it's a rather blatant Ship Tease. Its probably going to end up Arthurian love triangle, with Leo being torn about his loyalty and respect towards Kouga (and possibly some justifiable pants-wetting fear considering that his rival can probably kill him twelve different ways from Sunday) and his growing feelings for Kaoru. It will either turn into a case of Love Makes You Evil (thwarted in his love for Kaoru, he'll end up allying himself with the Big Bad), I Want My Beloved to Be Happy (he will gallantly step aside and do everything he can to protect Kouga for her sake, even if it means a Heroic Sacrifice) or if Kouga does end up kicking it at the end due to the Seal of Destruction, an extreme, tragic case of Last Girl Wins.
Leo is the man in the red mask.We know that the man in the red mask is a renegade makai priest who also happens to be a skilled swordsman, and in episode 10, we see that Leo is actually pretty handy with one. And this show has not exactly been shy about a character's seeming friend turning out to be the Big Bad.
Leo is not the man in the Red Mask but he is close to him in some wayLeo and Red Mask do seem to have a lot in common- they are both Master Swordsman, they both want to be able to protect humans on the same level as the Makai Knights. But rather than Leo being the obvious choice for Red Mask, he is instead someone who is/was close to him. Possibly a former pupil of the Red Mask, which would explain why their principles are so similar, maybe even a former friend or relative whom he grew up and they both taught the same lore that Makai Priests were the original warriors against Horrors. But where Leo grew up wanting to support the Makai Knights, his friend/relative/mentor never outgrew the resentment he felt towards them.