The leader tolerance may be too high for the leader lines to be visible. Adjust the leader tolerance to something lower, such as one or two.
Adjusting the leader tolerance adjusts the minimum distance between the leader anchor point and the text at which the leader line appears. If the distance between the leader anchor point and the text is greater than the leader tolerance, no leader is displayed.
When using dynamic labels, the leader anchor point is on the feature being labeled. Decrease the leader tolerance for leaders to appear for labels that are relatively close to the features that they are labeling. Conversely, increase the leader tolerance for leaders to appear for labels that are relatively far from the labeled features.
With annotation, select the text and move it towards/away from the anchor point. When moving the text closer to the anchor point the leader disappears, once the distance is less than the leader tolerance. When moving the text farther from the anchor point, the leader reappears once the distance is greater than the leader tolerance. It is also possible to select and move the anchor point, with similar results.
In ArcGIS Pro, right-click the baloon callout, and click Add Leader to display the leader line. Refer to ArcGIS Pro: Add or remove a leader line for more information.