Playing as allies, I've read that there should be a leader who tries to escape, carrying a clue. I've done this level twice now, certain that no one has escaped, but the leader doesn't seem to exist. I can leave the area without any warning saying I've missed anything, but no clues found!

Any ideas?

Not always, if you captured him in another map he will not show up, but you will still find the code book there. The mission path is randomly generated so dont aways expect thing to go like the walk through tells you. Check the mission objectives and see what they say for this map.

You can always shoot the doors open as well as the chests. Check all the house and the basements, sometimes the clues will wall through the floor because of explosions making holes and stuff. Do not leave without the clues because otherwise you might be unable to progress with the game.