Sherlock Holmes and the Leading Lady was an enjoyable movie, and I thought it was well made. I haven't seen many Sherlock Holmes productions and I'm not really familiar with the specifics of the original stories or the history of the character, so I can't say how well this movie stands up as a Sherlock Holmes production. However, considered by itself as an individual movie it's definitely worth viewing.
I'm not generally a fan of movies produced for television, but Sherlock Holmes and the Leading Lady didn't suffer from the problems common to most TV productions. Sets and costumes were numerous and elaborate, and the sound was full, unlike many TV productions with flat sound that is clearly from a set. The plot was well laid out and easily followed, unlike the second production in this series (Incident at Victoria Falls), which I think is a bit convoluted and confusing. One small warning-- this movie was apparently originally broadcast in segments as a small mini-series, and the total run-time is about 3 hours. You'll need to set aside some time if you plan to watch it all in one go.
Patrick Macnee was fun as Watson, and Christopher Lee plays a convincing Holmes. Morgan Fairchild seemed to be a good fit as the Leading Lady, though there were a couple singing scenes with poor lip-syncing, which might be partially her fault but could also be attributed to the editor and director. The cast is quite large for a television production, with lots of secondary and minor characters, and good performances throughout the movie.
Overall, Sherlock Holmes and the Leading Lady is a nice period piece and I enjoyed watching it.