Should I be concerned about power leakage through a Z-wave switch?
I don't think there are any real safety concerns - a lot of fancy light switches work this way, and many have the proper safety approvals, which they presumably wouldn't be able to get if it was dangerous.

Mostly it's just an annoyance when you have lights that do light up with the tiny amount of power they allow through.  If that bothers you, the only solution is to replace it with a switch that requires or optionally uses the neutral - and if necessary rewire so the neutral is at the switch box.

The only concern I can think of is that the circuit is never fully off, even when the switch is off.  So if you are working on the circuit (like replacing the light fixture), you need to turn it off at the breaker.  That's something you should always do anyways in case the switch is wired wrong, or some idiot turns it on while you are working.