Leo has to know who killed Abby. He was somewhere in her room, hiding behind a drape. When killer left, he came out, stole the jewelry. He was out and about, since he sold/gave jewelry, or at least that bracelet, to Clyde, who gifted it to Nancy. I just don't remember him being down in the tunnels. But he DID stay in the DiMera wine cellar, a stupid move, the writers have great imaginations.
I think Rolf is working in his lab, wherever that is, but secretly, thus uses the tunnels to get around the mansion, (eat? sleep?)