In Conquests, military great leaders cannot rush Great Wonders. Small Wonders, buildings and units down to the lowly warrior, yes, but obviously they are better values for Small Wonders or Armies.
Bear in mind that if a city has "tainted" shields (from disbanded units, forest chops or short-rushing) in its build box I don't think you can switch to a small wonder to rush it with a MGL; in that case finish another build and then rush the wonder or rush a wonder in another city.
Scientific Great Leaders in Conquests can rush Great Wonders...in fact their "Scientific Golden Age" is bugged so GW's are the only use for them.
In "vanilla" Civ3 and PTW there is only one kind of leader and it can rush anything, probably with the same caveats of not being able to rush with tainted shields in the box.
