Hey ​@Krish Patel  Jacques here from support engineering.

I can confirm this is actually expected behaviour, and it's currently not possible to manually set an external_id for a lead, it only works for users. The only identifier you can update for a lead is their email address.

I know that we don't make this clear in our docs, so I'll make sure to flag this to our team so we can improve our documentation.

Thanks for flagging this to us!