There's some merit to Wemby leaking out because the coaches told him to. But a couple of things.
1) No playing on the perimeter doesn't give a player -- especially a power-forward -- carte blanche to not rebound. Getting the board is every player's responsibility. That goes double for the tallest players. Leaking out is good if the Spurs get the board, but if they give up offensive rebounds then not only are they having to play another possession but now they have their best defensive player 30 or 40 feet away from the basket. Like all types of gambles, they look great when they work out, and there are folks who are smarter about when to take them. But they're never NOT gambles, and they more they're used, the less net benefit they tend to have.
2) Wemby's lack of rebounding isn't just a choice. His technique needs work. At his height, he's going to get a fair number of boards just by high-pointing the ball. But his lower-body action needs to be tightened up. While there is a range he can reach that basically no one else in the league can, within that mroe normal range he still stands a risk of losing important caroms. If he does his work early and holds his ground, Wemby should be able to basically secure half the rim's worth of bounces, if not more. But if he's taking false steps toward the other basket, getting caught behind his man, and getting pushed off his spot, he's going to end up either letting smaller dudes rack in boards on him or get called for quite a few over-the-back calls trying to rely on his height and length.
I'm probably going to stop saying this after this post, but talking about what Wemby needs to do or what I hope Wemby develops is not hating on him or whatever. He's obviously a generational talent and is playing well beyond reasonable expectations in a number of ways. But he still has a way to go, and there is a chance he doesn't improve enough on some facets, especially while he's young. No one's panicking or doom-saying. But there are definitely holes in his game right now which probably puts a ceiling on how much his performance will help the team get wins this season. Maybe that doesn't matter, but it's been a matter of discussion for a few months.