"The first rule of an unwilling prisoner is to escape." He's just a stranger, clearly a perfectly ordinary denizen of whatever world Leonardo comes from. Or some figment of his own imagination, but why Leo would be conjuring up tall ominous swordsmen is an even stranger question.

Sephiroth's seen despair in others enough to recognize it. Whatever this dream is - or more accurately this nightmare - it's one that comes with a terrible pain he can't quite connect to. He has no family to lose. "Or is there a reason you linger in this hole?"

It's a crater, not a hole.