Can I set the event Lead on the Thank You page when creating a stream? Or can I only set the event Purchase?

If you drive traffic from Facebook, you may want to set the status Purchase when choosing a Track while creating a stream and filling out the field Facebook ID (Facebook pixel).

For publishers, this goal is tracked as a lead; for the affiliate network, this leads becomes a purchase (provided the customer approved it).

This is why this goal is named this way.