Not sure what's special with Madrid. Great leaders? Highly influential players like Casillas, Pepe, Casemiro, Ramos, CR have all left but they still keep winning the same way as the did before.
It's like a club culture that passes on. Veterans like Carvajal, Nacho, Kroos, Modric, Benz are the last men standing, but they have a good transition going so the culture will live on through Courtois, Valverde and Vini (plus likes of Militao, Mendy, Rodrygo) who have been there for 4-5 years now. And these formerly mentioned vets are still able to perform at top level. When they leave they'll have a core that've been at the club winning things during 7-8 years.
Looking at our squad it's a lot more choppy. We have/had Busquets, Alba, Pique and Roberto as our seniors. Incredibly good support players in a XI (Busi, Alba, Pique) in their prime but not the type of leader you'd follow to death. Plus they're all way too past it to be starters for a CL aspiring team. So the transition has to be made now.
After them comes ter Stegen and then Dembele, Frenkie and Pedri. Players that haven't smelled a lot of club success (bar ter Stegen).
Who is going to teach our players to be winners, who's going to keep up a culture that defeat is unacceptable at all times?