The PC sends the leds status to the keyboard
What LED and what status are you talking about? Shift lock, num lock? If so, didn't YOU send that information to the PC?
Your original posting made no mention of a second keyboard, only the one being emulated by the Leonardo, hence the comment that as you were setting the Shift lock/Num lock status using the Arduino you had sent the status to the PC and did not need to receive it back.