I don't recall losing my leaders as a big problem in STW[1], although they are a tempting shock attack unit. However, whenever I return to STW, I find myself plagued by the opposite problem - AI factions disappearing after I kill their royalty. The games then get rather dull, as fighting a mass of ronin is nowhere near as fun as fighting living factions. I guess I should discipline myself to be more chivalrous and let them escape, but knocking out the enemy general is such a boon in a close battle, it is hard to resist.

[1]My generals do drop like flies in my M2TW games, however.