Darksiders 3 leaked !!!! + Reveal Trailer

I agree on both points :3

I was just thinking the same thing, I wonder what's better publicity - a normal announcement or a leak? Personally I think I'll be more likely to check out a forum thread if it says "[game] leaked" than "[game] announced", for some reason... which leads me to consider than maybe a leak does attract more attention.

Ah, so you're arguing that guys are less affected by the gender of the protagonist. Maybe, but probably not.

how does a female lead make for a fun direction to go in?

At the most foundational level, it's a matter of rarity. Same as with having a child lead- they're unusual. The gaming industry not only overwhelmingly favors teen to adult male leads, they've repeatedly and openly spoken out on that preference (often with their bigotry only thinly disguised, thus undermining any companies that actually did only look to market preference for their decision). With either character trait above, the novelty (and for some, being able to better identify with the similarities of the character) is the basic driving factor [ie, the element that applies in a game where gender distinction is purely cosmetic] in providing appeal.

Past that, however, if the game can play to the strengths of the design choice, then it becomes all the more compelling- that, of course, is true regardless of the gender and age [and ethnicity and religion and species and so forth] choice of the character, but moving past the typical cardboard copy 'macho male' hero persona into more complex character identities is always a plus [for those of more discerning tastes], and quite frankly, that's just easier to do (though, admittedly, also easier to screw up) when basing around a character trait more commonly associated with vulnerability. (Add in that females compose oh, roughly half of humanity, only individuals of dubiously singular perspectives wouldn't take interest in more balanced gaming perspectives- again, if only because it expands what gaming experiences are available to us.)

A weak male protagonist coming into his own could be just as compelling (and some novels, anime, etc have proven that), but typically that setup devolves into the usual power fantasy dynamic- and still isn't the same story that'd be told with a female protagonist. Likewise, may as well ask why a LGBT individual would make for an interesting protagonist: The trait may be superficial, and it may be a shallow marketing gimmick- or it could be an interesting component of the character's story, thus expanding their depth as a character.
For example, if a male had the characteristics of Lara Croft (Tomb Raider 2013) more simple-minded players would have found the protagonist unappealing, due to the open vulnerability and developing strength of will the character showed- but, by making the character female, the same story was told in a way that made it appealing to more players. In other words, part of the character's appeal is the possession of feminine characteristics, and those are typically only agreeable to players when told with a female being associated with them. Thus, by virtue of having a female character, we got shown a story we fairly assuredly wouldn't have been shown otherwise.
Jade from Beyond Good & Evil is another well-known female protagonist who actually has appeal due to how subtly feminine characteristics are expressed- those subtleties, combined with avoiding overt displays of masculinity, make for a distinct character (who manages to prove that regardless of gender, humans are equally capable of being strong protagonists).

In any case, think of it like a game having optional stealth mechanics: Some players may feel the inclusion took focus away from the rest of the game, others may love having the option, and others may just play through ignoring the fact. Basically, your question has a pretty blatant answer: Everyone has different preferences, and catering to a niche is always an interesting trait of a game [though, as with everything else, it won't necessarily be a trait that appeals to everyone. Of course, in this case, presumably the majority of the people to whom it actively doesn't appeal will not be worth much consideration as human beings].

But, honestly, not a single one of the overall considerations matters here, because there's an even more obvious answer:
Because it's interesting to the lore of the series, and to the concept of the Four Horsemen in general, to have a female inclusion. Maybe it won't amount to anything of note, but maybe it'll expand the concepts of the universe a bit- and that, presumably, is a fun thing to have occur [for those interested in the series].

how does a female lead make for a fun direction to go in?

tl;dr answer:
Well, how does having a female lead in a band make for a [potentially] fun direction to go in? The outcome of the inclusion can change the band only on a superficial level, but it can also completely reshape the tone of what they offer. Either result will find those individuals to whom the change appeals.
(And, to tie into my last point in the previous section, there's something interesting about having a traditionally one-gender group suddenly include someone of a different gender.. in fact, that's the entire concept driving stories such as AKB-49.)

I'd interpreted them as
Passionate Combat, Calculated Combat, and Honorable Combat, myself.

In RPG terms, perhaps Barbarian, (Ranger? Tactical Combat Fighter?), and Knight.

Given that the biblical/world-influencing references aren't part of Darksiders, and the names are more titles or nicknames for specific members of a larger race of beings than promises of earth-shattering ruin, it makes more sense to have the characters be based within more [class-based] personal conceptions of the names.