there is very specific condition about it. not Every leader is chosen by Allah. so if you talk about only islam, being in domain in islam,then the leader means Khalifah, and if he is legitimate and made khalifah by proper rules of islam (not Fake khalifah).
Considering above conditions, even if that leader tries to oppress you,then you cannot revolt,you cannot attack back, ONLY and Only if he goes against shariah. If he goes against rules of islam, anywhere in ruling according to Quran and Sunnah, then you have 100% freedom to stop him by all possible means. (ofcourse start step by step, dont just go and kill him).
and regarding how to protest,you have to follow the sunnah way of protesting to stop him from something, if he goes against sunnah and Quran and rulings. you should try to talk to him, if he does not agree, then try to get enough force or consult the Shura to take him down as khalifa and chose another one. as a person,who continue to go against Quran and sunnah, cannot remain a leader of muslim ummah at all