I haven't really had a close look at Siege Megatron, but bear in mind that CW Megatron offers:
* A realistic looking tank mode (of fictitious make/model)
* Working treads
* Rotatable turret
* Retractable barrel
* Missile launcher
* Guns that can separate into 2 or combine into a single rifle
* Cannon can swivel in robot mode to allow for either missile firing gimmick or more G1-esque broad barrelled look
* G1 style robot mode with Spark chamber inside chest (as seen in the episode "Master Blaster")
Now of course, Leaders are twice the price of Voyagers so I wouldn't expect a Voyager to have all of these features or achieve this level of engineering. But as I said before, I find both Voyagers and Leaders to be both pretty good for their respective size and price points.