I thought I posted before I left work…
First, you didn’t mention having power connected, just ground, but I will assume you have power (+5V) connected to the CAN shield.
Second, the Leonardo does not have SPI on its Digital 11-13 pins. SPI is only available on the ICSP header. You mentioned connecting the two with wires, can you clarify where you have the shield connected on the Leonardo? (Digital pin 10 is still used for the shield’s CS and digital pin 2 for the interrupt input.)
Third, confirm MOSI is connected to MOSI, MISO to MISO and CLK to CLK…
While its not crucial for operation, the Leonardo’s /RESET line should be tied to the shield’s /RESET line so everything starts in a known state.
Also, I would use the version of the library located on my GitHub. The receive example you posted is still using the Arduino’s interrupt handler which will cause the Arduino to hang during operation due to how the interrupts are used on the shield and the version of the library that example comes with has bugs.