I don't think having a leader would take away their "coolness". Infact I would say you need one as a necessaty, since you need to be able to direct such a gathering of power for a specific purpose. Otherwise they could always be arguing and never get anything done.

This doesn't mean that the leader is the most powerful one or something. Remeber being leader doesn't mean its all glamourous, you have to be able to tend to admin type crap also (though I can't quite think of what kind of admin would be required by Akatsuki).