Pretty strange, all right. I just installed 6.8.7 into another new venv and it worked as expected. It installed leo.exe into the venv's Scripts directory, which is convenient since you only have to type "leo" to launch.
What version of Python are you using? It's possible that the PyQt6 install for that version has something wrong with it, I suppose. Or the particular version of PyQt6 has an install problem.
Do you know how to set up a virtual environment (venv) for Python? I think you should try that next (although I don't have an explanation for the missing PyQt6.sip). I'll sketch out what to do, and if you already are familiar with using venvs, just ignore me and proceed with what you know.
Decide on a location. I will use c:\venv as the base directory. You can use somewhere else, of course. Open a console window and type
py -m venv c:\venv\leo
When the command returns a new virtual environment in the c:\venv\leo directory will have been set up. To use a venv, you have to activate it. Type
c:\venv\leo\Scripts\activate
to do so. Notice that the prompt changes to remind you that you are using the "leo" venv. Some system and Python paths will have been set up, and the Scripts directory will now be on the path for the duration of the session with the venv. Next install Leo:
py -m pip install leo
When this is done, just type leo. Leo should run. If you still get the error about the missing sip component, then I think it will be time to install an earlier version of Python and try with that. Or maybe try to install an earlier version of PyQt6.