Leader, yes, but he's also a teacher. Tenzin is the only airbending master there is (Jinora is close but not quite there yet, in my opinion). Zaheer would be a fool to kill him off when there're things Zaheer still wants to learn (and a whole group of people who need to learn as well).

I'm pretty sure they won't kill off Tenzin. Remember, they want to use him as leverage. If they killed him off, sure they'd still have the other kids and airbenders but Korra's heart was with him the most. If anything, it would set her on a rampaging quest for revenge - not a self-sacrificial obligation.