Leaks from effects attached to removed units are probably not so bad. As the unit art and the effect art should be removed, there is no render load meaning that next to slower trigger systems the leak should have no impact at all.
The reason for the leak is due to JASS having virtually no garbage collector. Thus although all logic states that removing a unit should automatically destroy all attached effects, the JASS interpreter does not. Instead it will probably remove all art involved but the effect object will still remain allocated in memory. It also probably causes an internal unit reference leak but the game probably has than anyway (seeing how all unit creations leak).
Do not except much from JASS seeing as how it can not even keep track of the reference coutner properly when using local handles and forgetting to null them at the end of a function.
Do remember that all leaks are bad. Some leaks might be less survear than others but that is not an excuse to let them occur.