Neither slimes nor magma cubes follow typical lead/leashing behavior. When tied to a fence, the slime/magma cube will hop continuously in a single direction, extending the "rope" texture of the lead seemingly infinitely. When tied to other mobs, both slimes and magma cubes will ignore the leash owner, and can break the lead by moving too far out of the leash owner's range.
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What do you mean when you say Minecraft may or may not support them? All mobs except for bats can be leashed (with the help of editors, of course), but most of them follow the "rules" of leashes, including zombies and skeletons. I just don't see why the slime-based mobs should be exceptions, or if they're supposed to be.
If the only way to get something into the game is to use an external editor, don't expect that the game will support it.
It is not possible to leash hostile mobs. If you add things to Minecraft using editors, Minecraft may or may not have support for them.