They eat anything small enough to fit in their mouths.
My 2 LFS owners are big fans of the Leopards and have been keeping them in their own tanks and selling them for a long time.
They say the biggest problem they face is shipping. Usually when they won't eat, it's due to damage during shipping to the fish' mouth. When scared they will try to dive for cover in the sand and in a shipping bag, there is no sand.
They need at least a 3in sandbed to sleep and they are easily bullied, especially by other types of Wrasses.
If you see one in a store, inspect it for damage on it's mouth. Do the upper and lower jaw meet evenly? Are there any scrapes or cuts on the mouth.
Also they can be easily hurt or killed by trying to find them when they are in the sand. Just pushing through the sand with a finger, they can be squished. Inspect their sides for bruising and see if they are swimming evenly. If they get bruised on one side by getting squished or pinched, they will favor that side and that can be seen in the way they swim.