Try designing an activity where the leader has to describe to his team members how to build something or complete a certain task, with his back facing the team so he can't see what they're doing. Succeeding in this type of activity will require that the leader is able to use clear communication without being directly involved or micromanaging the situation. It will also require trust from both parties, and will force the team members to work together & help each other as they try to work out the specifics of carrying out the task.
You can follow the activity with questions about what the leader did well and what he could have done better, and also what was frustrating for the leader. Push them to articulate how this activity translates to work in their organization.
Here's a great example of this activity with a bit more detail: https://prezi.com/i1w8-bnyso-l/activity-to-teach-delegation/