There are times (single pilot) when you get an altitude change and you can't make the power/pitch change at the same moment you read back the order, so a call that you are actually leaving is appropriate. This comes up more in training than anywhere else, but is still applicable in every day flying. Sure, if you are on top of it and start your climb/descent as you are reading back, say "leaving", but if you need a few seconds to make the change, don't say "leaving" when you havn't, and report it when you do.