Malachi was really taken aback by Leo's request, and instinctively, his answer was no.
No matter how Leo had helped his family or how Leo seemed to be a good person, because Malachi had kept his guard up against Leo from the beginning, he didn't stop to think if there was going to be an actual problem with Leo and his daughter following him and his family on their journey.
However, even if Malachi had not stopped to think about this, he had valid reasons to refuse Leo.
If Leo and his daughter were to follow them on their journey, it would mean a lot of things. Things like limited resources because the supplies they had would have to be shared with Leo and his daughter.
Of course, it wasn't a must to feed the two, but if this was the case, the other issue of Leo having a hidden agenda to follow them would be hard to ignore. Despite the good impressions Malachi had of Leo, it was too risky to easily trust him.