Polymorphic queries are still not generally available, but the correct way to query fields through a polymorphic relationship is to use the
WHEN Lead THEN IsConverted
FROM Event WHERE Who.Type = 'Lead'
If you want to go that route, open a case with support to get SOQL Polymorphism enabled for your org. Or, you can just query all
Lead records which have a related
SELECT IsConverted FROM Lead WHERE Id IN (SELECT WhoId FROM Event)
Interestingly, it seems that you can pull in most fields that are common to
Lead through this relationship, but nothing that is specific to one or the other.
SELECT Who.FirstName, Who.LastName, Who.Email FROM Event
SELECT Who.AssistantName FROM Event WHERE Who.Type = 'Contact'
SELECT Who.AnnualRevenue FROM Event WHERE Who.Type = 'Lead'