Dude, do what you want to your car. I have leased many vehicles and although I'm not into modding, I have done a few things and then removed them at turn-in.
There's nothing wrong - and certainly nothing ethically or morally wrong with slapping on an intake or an exhaust to a leased car. Just make sure you can put it back stock - you can then sell the stuff.
The only thing I wouldn't do is a tint. That is tough to remove. And obviously any engine work although there isn't anything available so that's a moot point.
Do what you want. Just keep in mind that it has to be removed.
2006 E90 330i (retired)
2009 E90 335i (retired)
2012 E70 X5 50i M Sport, JB Stage 1, 4.6 secs 0-60.
2011 VW GTI/DSG