I just reread the rules and from what I saw I would say that
- declare leader 1 and CUs, leader 2 and CUs
- roll for 1, move if successful
- roll for 2, move if successful
is the right call. Thematically it doesn't feel right but the rules say that
That is correct. The rule was written that way to force players to Avoid Battle before attempting any interceptions. To be honest, I didn't think about the case with multiple leaders in a space trying to avoid battle. But as written the rules do force you to pick the space you are avoiding to if successful before seeing the results of any other avoid battle attempts.