Not really, many of the top coaches are former players in rival teams (and actual legends of said clubs, unlike Leonardo), worked there in minor roles (as scouts, staff etc) before becoming coach and so on. Its pretty common. Leonardo is just more of green case, because its literally his first 2 jobs, the Milano clubs.
As I said, despite the past coaches have, they arent judged in the same way, ofcourse past associations linger (Lippi wasnt greeted immediately in Inter for example), but generally viewed as professionals doing their job. And extensions of what the club is, like players are judged as.
IMO Leonardo is bit of a case of someone available, though ofcourse his past didnt go unnoticed in selecting him, but I dont think its necessary a pro in hiring him, more of a con. They prolly got desperate, because there is really not much of short notice choices.