Definitely take the feedback to hand. While I have no doubt you put in a lot of prep time and gave a solid performance in your interview, it is always important to make sure you work on the feedback you get in interviews. Any particular areas of development in a given interview will be noted and passed on to your future interviewers, so in your next interview they likely will be paying particular attention to your “leadership” stories.
It's hard to say what exactly you need to do to improve without hearing your answers directly, but here are some suggestions of where to start:
Think about your framing. I am generally a proponent of the STAR framework, and I would recommend really fine-tuning your response to focus more on the A and the R. The S and T set the scene and give context, but the A and R are where your contributions really come through. Are you explaining your specific contributions and the importance of those contributions in sufficient detail?
Think about the stakes of your examples. Are your leadership examples of a sufficient scale (e.g. led a team to launch a new app could be interesting, while led my group of friends in planning a holiday is probably not - silly example, but you get the point)? Do they come from the past few years, as opposed to something in the more distant past?
Go through your fit stories with someone experienced and ask them for detailed feedback. Ideally I would recommend working with a coach to fine-tune your stories, but you could also work together with a case partner or current consultant.
Happy to answer any more questions you have about this, and best of luck!