When you send or forward a lead to a client through Lead Generated they receive your lead by email. If they were to reply to the email it would go to the email account you used when you created your Lead Generated account. If you would like to have these replies to go to another email address you can adjust that by updating the reply to email address. You can access this setting by choosing account setting from the top right corner and then entering the desired email address.
For a walkthrough and more information about the reply to email address check out the video below.