If you're playing to win, focused fire matters a lot. Who you focus on matters less. You're probably better off focusing on the defender than the leader if focusing on the leader means slogging through the defender(s) over the course of multiple rounds, while giving the controller and striker free reign.
'course, if the leader is an easy target, he's also someone who's attractive to kill.
Specifically for wizards, I'd say focusing on them is generally a very bad idea - most wizards I've seen have very high defenses, shield, and other powers to get them out of trouble if they really need to. However, if they've neglected defenses and/or if you can really pin them down, then they fall quickly (few HP, and shield lasts only one round). It depends on the wizard, but they're not generally the squishiest target around.
Typically, though, I think its more fun to RP this a bit. Focusing on the same character systematically is generally weird in-game, and it's not exactly fun at the table either. And although focused fire matters, if you always do it, you're stealing the thunder of supposedly smart enemies. If you think stupid tactics aren't a challenge, then reduce the XP award slightly to account for that.