The bonuses remain in effect even if the character that grants them is killed.
The leader skills are added one after another (and NOT together at once)
For example, Shane - Days Gone Bye's Leader Skill is "All teammates get +15% HP. They also get +20% defense against ranged characters". When using Shane as your Leader AND as an Ally, the Leader Skill does NOT become "All teammates get +30% HP. They also get +40% defense against ranged characters". The Leader Skills are applied one after the other.
Proof (Best proved with +?% HP Leader Skills):