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If I assault, and explode a vehicle in CC, but the explosion kills enough of my models for me to take a leadership test, do I need to take one? Or are those causalities coming from a combat that I won?

You do not: Morale - When to Test - "There is an exception: units that lose 25% or more of their current models in the Assault phase do not take a Morale check." (p57)

However, vehicle explosions in combat do have some other interesting interactions - if a vehicle explodes, the resulting casualties are counted against the combat results, even if the casualties are on a nearby combat (as long as it hasn't been resolved yet).