Well, if you followed the connection diagrams for the Arduino UNO available on bildr, then it won't work..
The leonardo has the I2C bus on different pins compared to the UNO.. You will just have to use the SDA and SCL pins which are available on the leonardo (near D13) and not the A4 and A5 like in the UNO.
How exactly have you wired it up? Which wiring diagram? What voltage did you power the IMU board from? Which IMU board of the 3 did you use? Did the wiring diagram say "Arduino Leonardo"?