With the history of Southern Africa it's often surprising who the first missionaries were to reach people. Some of the first missionaries to reach the Zulus were American, and in the case of the Sotho people it was missionaries from France.

The Paris Evangelical Missionary Society was the first to reach the Basotho in 1833. This was a Protestant group of missionaries that got along relatively well with the Sotho leadership. Some would argue they got along so well that the missionaries started getting involved in politics and running foreign policy for Moshoeshoe (Brain, p. 81). They credit themselves with bringing knowledge of cereals and grains, ploughing, irrigation, and domesticated animals (specifically pigs, cats, and dogs) to the Basotho people (Martin, p. 69). This group even takes credit for converting Moshoeshoe to Christianity on his deathbed in 1870 (du Plessis, p. 319), although the Catholics claim he kept postponing his baptism and that it never happened (Brain, p. 92)

After the French Protestant missionaries, next came the Roman Catholics who settled in 1862, followed by the Church of England in 1876 (du Plessis, p. 321). In Catholic Beginnings in Natal and Beyond, Brain claims that Moshoeshoe had grown sick of the political meddling of the Protestants and allowed the Catholics to settle in 1862 because he "was not averse to fostering inimical feelings against them" (Brain, p. 81). Then the late 1800s were a rough time for the Basotho with the Basuto-Dutch War (1863-1868), Morosi Campaign (1879) and Gun/Disarmament War (1880-1881). These wars involved both disputes with the colonizers and internal civil war-type conflicts that put great strain on the Basotho, which in turn got taken out on the missionaries, especially the British. During the Gun War, the Basotho spared the French Protestant and French Catholic missions while completely destroying the British Anglican missions at Mohale's Hoek, Sekubu, and Thlotse (Martin, p.59).

Your question was specifically about the traditional leaders. Moshoeshoe appears to not have fully converted to either Protestantism or Catholicism before dying in 1870. It appears the first royal to convert to Catholicism was one of Moshoeshoe's sons named Masupha who was publicly baptized in 1898, followed by Lerotholi's second son Nathaniel Griffith Lerotholi converting in 1913 (Brain, p. 99). Griffith went on to become the Paramount Chief that same year (1913), which arguably made the Roman Catholic Church "the most powerful Christian force in Basutoland" (Brain, p. 99).

Sources:

Brain, J. B. (1975). Catholic beginnings in Natal and beyond. Durban: T.W. Griggs.

du Plessis, J. (1911). A history of Christian missions in South Africa. London: Longman.

Martin, M. (1903). Basutoland: its legends and customs. London: Nichols.