I hate those things! They're fuzzy and gross! Your Leo is gorgeous!!
one of those wriggled out of the tub when i was feeding mine and one of my geckos ate it and she loved it, she tried to climb in the tub to find more lol dont think that they are harmful??
There are a lot of worms out there used as feeders for various reptiles that turn into beetles. I bet that bug was just an escaped feeder from another batch that managed to turn into a beetle before being detected. Doesn't surprise me that some leopard geckos may like them.