I figured it out. The slices were too small. In 3D (exploded) it looks wrong. Using a 1D pie chart the leader lines are pointing to the correct slices. This particular pie chart has 25 slices and I wonder if there is a limit to how many slices a 3D pie chart can support. Also, the leader lines points to the side, lower point of the pie and you cannot see the precise point where it's pointing since the slices are too small. Another work around was to remove the problem data labels and insert text boxes and place where needed.