Ralaoups said..
I know someone who tried and is really convinced :D
He tried just once, on flat water.
Note that kitesurfers do not use leashes because it is extremely dangerous when you jump, the board will come back to hit you.
Also, I cannot count the number of times I ended up under my gear after a wipeout, being pummelled by breaking waves. With a leash, I would have risked being tangled up underwater.
This said, It may be useful for specific uses, a bit like downwinding: windsurfing in strong winds, long distances, no jumping no surfing.
In the thread they mention Sarah Hebert using a leash between her harness and wishbone handle for her crossing of the atlantic.