I've never been a fan of Lexus myself. I was underwhelmed by the F's before (don't know what the new one is like). It always felt like a Toyota with velour. Mind you, I expect a Lexus to last better than a Merc, and the CLA is based off of the A (hatchback) and B (people carrier) class, so it's not like it's got a great heritage.
Personally, the AWD if probably fine for a bit of rain, but I would not expect it to do you much good in the snow or ice without chains or snow tires. It's a low clearance passenger car after all. And if you're going for the sports package (big wheels and summer tires) then you've negated any benefits for bad weather in the 250. And the 250 isn't powerful enough to warrant it in my eyes other than for eye candy.
I don't lease cars, but for me, if I was leasing, I would get the Merc as it strikes me as more fun and loaded. If cost is a large consideration and you plan on keeping longterm, I'd go for the Lexus as I expect it to last longer. This coming from someone who is buying (not leasing) the AMG.