You mention in your post that getting links from higher ranked sites improves the ranking. This is true, for sites with higher Domain Autjority - Google, the operator of Google Analytics doesn’t care about Alexa.

Thenthere’s the attribute nofollow for links. A link marked nofollow tells the search engines to not follow that link. And the SA website link to Leo is marked nofollow. So it won’t affect the ranking of Leo (pass on any Google juice).

But, as said, appreciating the link nevertheless!