"leading" army could refer to two things depending on where you're looking.

One it could be talking about naming an army leader from your "my nation" page. Kings, Chancellors, and Counts can all issue orders to armies. However, outside of that group any other knight must be physically named the leader on that menu in order to give commands.

It can also refer to when more than one allied army are working together and rather than making plans and acting independently one party wishes to give command fully over to another army.