I want to know if that comma is necessary in this case, it kinda gives me a feeling that it should be used but I'm not really sure.
- They went directly to the Great Leader, X
- They went directly to the Great Leader X
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It depends on whether "Great Leader" is being used as a title (like Mr) or as a noun. The use of "Great Leader" is not a common or standard title but some dictators might use it as a title.
For example, the first President of North Korea used "Great Leader" as a title. As a title, you don't need "the", but you do use capitals (the title is part of a name).
They went to Great Leader Kim Il Sung.
The went to President Trump.
The went to Mr Smith.
On the other hand, the comma can be used as an appositive. In this case you do need "the":
They went to the "great leader", Kim Il Sung.
They went to the president, Mr Trump.
They went to the butcher, Mr Smith.
The meaning is "the butcher, whose name is Mr Smith" or "Mr Smith, who is a butcher"
In these cases I've not used a capital (since these are common nouns) and I've used a separate title (Mr) or a full name "Kim Il Sung". There are quote around "great leader" to indicate "the so-called great leader", rather than a leader who I think is particularly great.