"Leader" while used technically correct is misleading. It's not that the sheep decide to follow X and go wherever X goes, it's that a number of sheep want to go to A area, and X is the first to start moving and the others follow. A certain threshold of followers instigates the full herd to follow. This has been researched with other flocking animals as well and they have found subtle signs of "voting" and sheep are no different.

People behave similarly without the flocking. Maybe you're in traffic thinking taking the exit might be quicker but you're fine with sitting in traffic, but you see someone else hop off for the exit and decide yea that's the right move and take the exit. Only difference being sheep flock, so either the exiter turns around when no one follows and comes back or the herd follows.