I feel your pain. But no. Not that I know of.

With enemy heroes you can at least be tricksy and avoid capturing the enemy throne so you have a turn to loot, but leaders? No go.

Fortunately, you generally find more items than you know what to do with anyway if you explore a map carefully.

I admit that in that Frostling campaign scenario I camped 5 stacks outside the Rogue's capital for 10+ turns whilst other stacks were digging up every last bit of treasure from the underground and the islands in the west and shipping it to my heroes. (Since they're Frostlings, I imagine the "send magic item" system actually works through Dire Penguins with oversized backpacks running around stealthily delivering the stuff) That compensated for not getting the leader's items.