Does the difficulty level (normal/veteran/hard mode) affect the chance of getting a lead assigned to a specific group dungeon boss? I've been trying to get the ones from EH1 and DC2, mostly on normal, but without success so far.
No. But it does seem that the likelihood of getting leads is randomly selected when you log in to a character, so I'd suggest testing on something easy, like a treasure map, and only do the dungeon if the treasure map gave you a lead.
Got in several runs today and got leads from 2 of them but not, of course, from Cannoneeve Oraneth. It almost - almost - feels like you have a better chance if it's your first time through a specific dungeon than if you've already run it multiple times. I really hope that isn't the case.