This isn't exactly the answer to the question you asked, but George II was the last British monarch to directly lead an army into battle, at the Battle of Dettingen, during the war of Austrian Succession. Richard III was the last British monarch to die in battle, at the Battle of Bosworth, which ended the Plantagenet Dynasty and paved the way for the Tudors.

I'm curious about whether, in your question, "lead" means the modern sense of being with the army as a general and sending orders to groups, or "lead" in the sense of standing / riding in front, yelling "follow me, boys!" and charging the enemy (Alexander the Great style).

There are two FAQ entries here. In particular, When did kings/members of the royal family stop leading armies on the battlefield? from /u/NMW mentions Albert, king of Belgium, in World War I, but I suppose it was the acting as a general sense than a "someone get Our Royal Personage more grenades!" thing.

I was going to do the normal thing and post links to previous posts here that have discussed the question. Unfortunately for that, there are too many hits. You can try a search for

king battle

in this subreddit using the search box at upper right. Hits that look notable to me:

• What are the most contemporary examples of Kings/Emperors/Governors/etc directly leading armies in battle? When did this cease to be common practice?: mentions a few kings who died in battle, and adduces Napoleon, certainly a general.
• Did Medieval kings/lords really lead the charge?: George II was the last British monarch. The other examples are medieval.
• Is there any evidence that the leaders of an ancient army lead the charge into battle by running ahead of everyone else? covers the more specific case of "follow me!" Even more specific, In the Middle Ages did two kings ever actual find each other in a major battle and fight like many movies show? www.reddit.com/r/AskHistorians/comments/1zvygd/in_the_middle_ages_did_two_kings_ever_actual_find/

The usual disclaimer: those are some discussions already posted. It's not at all to discourage new discussion and questions.

Józef Piłsudski was both Polish Head of State (as a provisionally 'Chief of State') and Commander-in-Chief of the Polish Armed Forces during the Polish-Soviet War (1919-1921), and was directly and closely involved in planning and executing military operations

Do you count the time George W. Bush had to dodge a shoe in Iraq? If so, I would consider that!