Leo actually seems to enjoy being compared to a gun with the way his eyes light up. He's often seen himself as being a weapon, sent by God down to right the wrongs of the world. This is what happened when a creature like him was formed out of religion badly warped.

"To punish sinners, of course." He runs a finger down Vasquez's arm in a slow, deliberate manner. "I could eat your soul with only a song. This whole place seems like it's full of little meals for me." So in other words, don't piss off the Sunai, or he'll steal your soul and leave you with your eyes burnt out of your skull.