Like you, I don't see that an MSB as a leasing customer poses a tangible risk that your institution might be used to launder money or facilitate terrorist financing. However, while the interagency guidance on MSBs clearly allows you to downgrade an MSB's risk based on your own assessment, it does not suggest that you should only evaluate depositary customers.
I would subject any MSB customer to the same type of analysis and documentation regardless of the proposed relationship. Obviously, if your leasing relationship is successful and they decide to open a deposit account with you it would be a bit difficult to explain if, only then, you realized they were not registered or maintaining the appropriate compliance programs. It's only on the monitoring aspect that a non depositary relationship might give you a break.
One of the best ways to support any risk classification of an MSB is to be able to point out that all of their banking relationships are with your institution; i.e. you see everything. If you don't want their deposit relationship, perhaps you should not want their leasing business either.