It would discharge back through there, but it should be pretty slow, as the voltage should be pretty low (and once it gets somewhat high, it will discharge through the gate of the transistor). Discharging through the LED wouldn't really matter (unless it left the LEDs on for a while, which I don't think it should). You really just want it to take time to charge up while the LEDs are on, so the transistor doesn't conduct until say 5secs or more have passed.

If it was on the LED side of the LED FET, it might keep the LEDs lit and fade them out slowly, depending on the values of the R1 and R2. Juggling R1 and R2 should limit that period I think.
If it was on the PIC side of the LED FET, the PIC drives the line low, so any current from the cap should drain directly without driving the FET. R1 should keep the cap from damaging the PIC with high current.

A diode would always prevent backwards discharge if needed, and may be a nice simple solution. Like I said, my analog sucks, so it may need tweaking.

The schematic is really designed to go on the PIC side of the LED FET, just tap the middle pin of the LED FET. You'd have to flip things around for the LED side of the FET, as the FET switches LED-, which could make things a little trickier.

D.