you cant say use gold to upgrade like you could in later civs
Yup, in Civ II that is correct. Gold alone cannot upgrade a unit; you also need a village's production box for at least one turn. Leos makes all upgraded units into non-Vets; this hits Vet Legions (6 attack) hardest, since they become attack 3 (but 2 HPs) musketeers. Advantages to self-upgrades are you can make the upgrades "veteran" either through barracks/Lighthouse or Sun Tzu, and can choose units you want upgraded (and when).
In another example of why Leos may not be preferred, is with Caravels. If you want your Caravels to attack, such as Barb leaders on the coastline or even some enemy triremes, then upgrading by Leos to Galleon may be inopportune.
In a "close" or warlike game, then Leo's can be a high priority target to capture. In the heavy wonder race of the mid game era, its even possible to "steer" the civ that you prefer to build (and then more easily later capture) Leo's; it can be influenced by timing of tech gifting, as well as war/peace and Ally. The AI wants Invention, and will demand it of you, as well as make it a high priority in diplomacy. Make sure "your pet civ" gets Leos ahead of other AI, and they will likely make it for you.
If you miss out on Leos, Settlers can found/join villages while making new engineers (or join with engineers in some tasks like Irrigation without impact on their work speed); most other units can be upgraded with minimal fuss , except those far afield (often, exploring units/diplomats/Naval), as Prof. Garfield suggested.
BTW, most styles of play dont really "require" Leos, esp. if faced with the loss of a SSC's wonder, or Michaelangelo, or JS Bach; but really the only irreplaceable midgame wonders are in fact Copernicus and Isaac Newton (they must be constructed in the SSC that is).
