It looks like for those particular assets, DeadLeaves 1 and DeadLeaves 2, those cannot be placed with respect to the sloped surfaces, and will always play horizontally with respect to the world axis. I am not sure if this behavior could be considered normal, or if this may be a bug, so I have reported this to the engineers for this to be investigated.
In the meantime, you will need to manually adjust rotation of the leaves after they are placed to properly align them to the slope of the surface.