I was wondering, which should I pick: Male Byleth or Female Byleth? Which do you personally prefer?
It's really just down to personal preference. I tend to play as the female in most games where you're given an option and I like her design more, but everyone has their own preference. If you like the male Byleth more, go for it.
I saw a bit of the cutscene and tried one level and I was leaning towards Byleth (M) because I kind of like his design more..idk. Then again Byleth (F) unlocks Leonis? according to reddit. Not sure if he's better but I like his design over Sylvain?
Female Byleth makes it easier to recruit Sylvain because, whereas you usually have to either have sufficient Support level with a character (B) or meet stat checks, Sylvain will just automatically join a female Byleth's House if you're playing either Black Eagles or Golden Deer. This is a moot point if you're playing Blue Lions because he's already a Blue Lion and doesn't need convincing.
Your mentioning of Leonis, who I assume is Leonie, is a girl from the Golden Deer House. It doesn't matter which Byleth you choose for her, neither gives an advantage in this regard.
Sylvain is the only character that you have an easier time acquiring if you play as a specific gender.
Here is a list of the requirements to acquire specific characters.
So hard to pick one
There are differences, but it's just gameplay basically.
Male Byleth, and male characters in general, are the only ones who can become Dark Mages and Dark Bishops, as well as the Hero class. They were also the only ones able to become the brawling classes until the Cindered Shadows DLC added the War Monk class. Females still can't become any brawling class that isn't War Monk (the female version is called War Cleric), so on top of the Dark Mage, Dark Bishop, and Hero, males also have the exclusive ability to become Brawler, Grappler, and War Master.
Female Byleth, and female characters in general, are the only ones who can become Pegasus Knights, Falcon Knights, and Dark Fliers, as well Valkyrie and Gremory.
If you want to base your decision on something other than aesthetics, I'd recommend figuring out what sort of class(es) you want to specialize in.