You don't need one unless the hill requires it. Very few hills require a leash these days because they realize that snowboards rarely come off the riders feet. Skiis have much more potential to come off and hit someone on the hill.
Some hills that have step-in bindings require them on their rentals.
I don't really use mine. I've never lost my board so I didn't really see a need for it. I suppose it could be one of those things you're glad you used if you needed it, but you probably won't ever need it.