I'm an international student who goes by a different name in the US. In fact at this point being called by my real name is confusing and there has been a time that someone called me by my real name and I started speaking in my native language. When people find out that I go by a nickname, they try to be nice and always ask what my real name is, and then I try to teach them, and they mispronounce it (I don't blame them) and get upset that they can't pronounce it right. I don't mind being called something else, and I'm not always in the mood to teach people how to say my real name right. So calling this student "Leo" is totally fine.
I also don't think it's insensitive or rude to demand an English or anglicized name from someone. No one is obligated to spend time getting your (or mine) name right.