1. The only way to get leader re-rolls is to have the WK in play, and remove 1 Nazgul and you get 1 extra re-roll for the ENTIRE battle correct?
That's the only way to get them from Nazgul. The effect lasts for the rest of the turn.
2. Why does one WK card have 3 leadership and the other 0?
Since there's only one Witch-King card, I assume you mean what does the "3/+0" on his card mean. All Characters have a Leadership rating and a Leadership Modifier. The Leadership rating works just like in the main game in that it allows a number of Leader Re-rolls if that Character is in an Army. Unlike the main game, all Leaders in an Army don't contribute their Leadership. If there is more than one Character and/or Leader in an Army, one must be chosen as the Commander of the Army. That Character or Leader contributes his Leadership rating to the Army, while all others add their Leadership Modifiers to the total Leadership.
In the case of the Witch-King, he would provide 3 Leadership if he was the Commander of the Army, but if another Character or Leader were the Commander, he would add nothing to the Army's Leadership. A Character with a rating of "1/+1" would add one to the Leadership whether he was the Commander or a subordinate Leader.
3. Do the Nazgul have to be in the region attacked, or with the attacking army?
They must be in the same Territory as the Region being attacked.
"War is much more fun when you're winning!" - General Martok