Cant see anything wrong with your idea albeit making him appear less physically imposing.
I like the leash idea also. It would help connect the two models and give more of an impression that they are working together.
You can get small chain links from craft stores in the necklace section which is what I've used in the past on my
LotD.
It's up to you if you want the leash taught like the Chaos Lord is holding the beast back, or slack as though they're standing side-by-side.
given the pose of the two figures i think taught would look badass