Whenever I want to embroider on something that I haven't before, I always to to emblibrary. The first link is embroidering on leather. The second link is embroidering on faux leather and the third link is embroidering on faux suede and the fourth link is to emblibrary's fabric 101. So yes, you can embroider on leather.
I did a large logo on a faux leather golf cart seat cover......I used heavy cutaway stabilizer and a leather needle......turned out fantastic.......