The game's theme song, "No Sugar in my Coffee", has the lyrics "Don't want no sugar in my coffee / It makes me mean, Lord, it makes me mean". One of the game's core themes is working together with someone and forging trust; Leo has to work together with Vincent in order to break out of prison and get to Harvey, and vice-versa. This is why it was designed specifically to be played by two people. The lyrics also serve as Foreshadowing for The Reveal - Leo and Vincent's friendship was based on a lie fabricated by Vincent's co-workers in the police force, hence "putting sugar" in the coffee by sugarcoating the truth. After spending the whole game pouring his heart and soul out to Vincent, it's no wonder Leo exploded like he did after learning the truth in the climax, in the worst possible way.
Vincent was a law-abiding man before he ended up in prison on a fluke, rather than being a career criminal, so of course doing things his way means doing things carefully and relying on subterfuge and people skills. Of course he is. He's an undercover cop, trying to minimize the amount of collateral damage and civilian deaths caused by his and Leo's misadventures.
Leo's anger at being betrayed is only natural, he's already hotblooded by nature and he just got backstabbed by someone he's trusted with his life up until that point. On top of that, though, he talks about how Linda was his first love at the orphanage, he was apparently never adopted, and how she and Alex are his world because he has nobody else in his life. In other words, Leo didn't just get betrayed by a close friend, he got betrayed by the first and only friend he'd ever made since he was a little boy.
Fridge Sadness: Leo losing the Black Orlov hurts when you realize what fencing it would have done for him and his family. One of the biggest contrasts between him and Vincent is that Vincent is way better off. Going by how huge his townhouse looks, he's wealthy, had a good relationship with his brother before he died, and comes from what seems to be a fairly privileged background. Leo was either abandoned or neglected so badly that the state intervened, has no family except his wife (who he met at the orphanage where he grew up) and son, and lives in a tiny, cramped trailer in a very poor neighborhood. For someone as hotblooded and impulsive as Leo, pulling off a diamond heist would have been both difficult and hugely dangerous, but he pulled it off. The huge payoff for that heist could have done amazing things to improve his and his family's lot in life. Which makes it even worse when he risks life and limb to take Harvey down, actually does get the diamond back, only to have it plucked out of his hands when Vincent turns on him. Vincent gets to be congratulated for heroism for taking down Harvey by escaping prison (ie, crimes that Leo was about to get arrested for), welcomed home by his wife and new daughter with plenty of free time to enjoy their company in his huge fancy house before moving on to a new lucrative career. Meanwhile, Linda and Alex get the same nothing they've had all along, only now without their husband and father.
Why doesn't Leo go after Emily after Vincent reveals he's an undercover cop? Either he assumed Vincent used her, too... or he did put two-and-two together yet didn't want to hurt her because she had done so much for him, and attacking her would make Leo just like Vincent.
Even more Fridge Sadness: Leo's reaction to the betrayal is entirely in-character and believable, but what was he actually being arrested for? He had just worked with an undercover fed who had actively assisted him in breaking out of prison, committing a string of other crimes, and ultimately crossed the border illegally to commit extrajudicial wetwork. The Bureau would have had every incentive to reduce Leo's sentence, and possibly even give him hush money. Everything could have turned out fine for Leo if the reveal had been done with a little more tact.
The title doubles as a foreshadowing. There is only one way out for one character.
The cover even provides some brilliant foreshadowing.
Firstly, Leo's facing front and Vincent's facing backward, which perfectly equals the back-to-back tag-team situations they're frequently put in.
Second, only a portion of Vincent's face is seen, and his back is to Leo, and there's a lot of stuff he's hiding from Leo throughout the game. Leo, facing frontwards and with a clear shot, is actually who we eventually see him to be and isn't hiding anything.
Finally, neither character dominates the center; Leo leans slightly right while Vincent is leaning slightly left. Not only because it's a tag-team co-op situation where both characters are sharing the main protagonist spotlight, but both characters turn out to be a little morally gray by the end, and also neither character's ending is more "valid" than the other; both can equally follow from what happened before, Leo acting out his vengeance against Vincent's backstabbing or Vincent acting in self-defense against the enraged Leo.
Fridge Horror
Carol losing Vincent just a few days after giving birth is going to have some seriously impact on her mentally. Especially if she suffers from postpartum depression like many mothers do, it leaves her and Julie's fate very vague, but it certainly can't be good.
Regardless of ending, Leo will always get the short end of the stick. He will always be worse off than he was prior to the event of the game. The Black Orlov's heist was supposed to help him provide for his family, but it fails miserably and lands him in prison. Even if he manages to escapes in his ending, his family is not only still poor, but now they also have to run from the law.
