As per dictionary.com:
Lead, verb (used with object), led, leading.
1. to go before or with to show the way; conduct or escort:

The first to secede seems like a pretty solid description of "to go before" or "to show the way" - which seems an uncontroversial definition of "the leading state". I was using the word in the sense of "going first" not in the sense of "being most important". Quite a lot of people would argue that in THAT sense the leading state was Texas - after all it's the second largest state in the country.

But in this case - I was going by leadership in the "show the way" sense. The entire rest of the confederacy followed Kentucky, they didn't initiate it before.