Elnow21

I'm pretty sure there's a problem on the servers' side, not on Mojang's. It takes some time to upgrade a server with lots of plugins to a newer MC version. You should still be able to join it with version 1.19, until they upgrade it to 1.19.1. (The message 'Please use 1.7.2 - 1.19' doesn't yet include 1.19.1)

(1.18.2) It has something to do with MC-168188. So far, I've managed to find out this: 

Trader Llamas always spawn with active DespawnDelay tag, while Wandering Traders have it on 0 when spawned manually (they never despawn). When you leash a llama with command from step 2, they "take" the value of DespawnDelay from the trader, but since it's set to 0, the game thinks that the default time ran out, so the llama eventually despawns.

To make it work, you have to actually give the Wandering Trader a DespawnDelay value:

/summon wandering_trader ~ ~ ~ {UUID:[<"Trader UUID">],DespawnDelay:2147483647}
/summon minecraft:trader_llama ~1 ~ ~ {Leash:{UUID:[<"Trader UUID">]}}

All of the newly spawned llamas will now have exactly the same DespawnDelay as the trader currently has.

Leashing to other entities in 1.18.2 worked normally in my case:

/summon cat ~ ~ ~ {UUID:[<"Entity UUID">]}
/summon minecraft:trader_llama ~1 ~ ~ {Leash:{UUID:[<"Entity UUID">]}}