Hi
There is a
'Developmental' Harlequin list here, where leader can be added to the troops. Equally you can get the Great Harlequin as your SC in an army containing mostly Harlequins.
Fluff-wise, I think there was a suggestion that Harlequin characters (units in E:A) would act as leaders of non-Harlequin units. Please try this by all means, but I suspect the result may well over-power the existing formations. Indeed, I have always maintained that the Harlie list is purely a 'fun' list rather than something that is seriously considered for approval - but YVMD especially with sufficient testing and 'fan-based' support . . . .