Think of a lesha as one of amon's concubines. the reason na-in is so devastated is because rue is someone he deeply cherishes. now that rue has become a lesha, his life is basically in amon's hands. It basically makes it much easier for amon to use him, sacrifice him, or even kill him if he wants to. and that's exactly what na-in is afraid of and why he's so desperate to protect rue.
Leshahs are like consorts(?) of the shahs or rather the "truest servants of shah" because they are said to be given the highest chance to serve the shah in the afterlife (but for them, it's moreso to shah amon, the only shahs that seems to genuinely want to be under na-in is leshah Gwen and now, most likely rue)
Or something along those lines.

Can someone remind me why it’s significant that Rue became a Lesha. Ik what a Lesha is, but why does Na-in appear devistated, I forgot