@Ian It happened unleashed as well! I included that in the report. But, leashed or unleashed, it shouldn't happen at all.
Sorry for the video quality, I had to compress it a lot. I've since given up on bringing my allay in the safe overworld, and for now he's just hanging out by my portal in the nether.
I show in the video what happened. The allay would cross the nether portal from nether to overworld, but after a minute in the overworld it would disappear, whether it was leashed or unleashed. When it disappeared, it would be back on the other side of the portal, in the nether.
It also would not follow me over, but I'm not sure if it was supposed to or not. I would always have to leash it and force it to go through the portal into the overworld. Once in the overworld, leashed or unleashed, after a minute it would disappear back to the nether, right on the other side of the portal.
After the big Tales and Trails update, it seemed to be fixed. I was able to bring my allay into my world, and put it in my "basement" of my base, so it could not leave. But inexplicably, after a few days it just disappeared again, and was no where to be found.
Haven't played the game since.