If I recall correctly Leningrad was captured just before the first winter set in. I usually attempt to take Leningrad since without it I find it harder to create a good German defense in the northern sector during the first two winters. Holding it isn't too hard thanks to the river Volkhov...
Also, I was playing with the optional rule from the Southern Expansion which treats Major Cities like forests (i.e. no retreats). Makes it easier for both sides to hold Leningrad.
