There's weeping (light oily residue on the shock body) and then there's leaking (oil running down the side of the shock, puddle on ground where you park). I doubt yours are leaking, more likely they are just weeping which is normal and doesn't necessitate replacing (yet).
However, if you do decide to replace the shocks you'll want something with adjustable compression if you want a softer ride. And replace all of them of them, not just the front. You won't find anything that comes pre-tuned to be much softer, it's just too hard to do universally. Adjustable compression gives you the ability to find that sweet spot yourself, you may actually find that more damping makes the ride softer.
Megan Racing and Flatout Suspension both have adjustable compression shocks for stock height CX-5s. But you will have to play around with the settings a lot and go on multiple drives to get them dialed in. This could take weeks depending on your access to different kinds of terrarin. If that's not your cup of tea then don't bother with adjustable compression. Some people love fiddling with settings though.
Keep in mind that ride quality is largely dictated by the tires on these vehicles. You can only change the ride so much with 19" wheels and low profile tires. You'd honestly be better off going with 17" wheels than with aftermarket shocks if you just want to feel less of the road.
