Why won't the values of Standard picklist Industry on Lead auto translate when user's Language is changed? and where can i find the proper translations
Switching to a User's language will not automatically change the picklist values. Those still need to be translated using Translation workbench. Below is an excerpt from the documentation, which states:
You must edit picklist values individually.
You can also find some additional information around user language and standardizing language for organization here on the help link.
For any translations, it should be done either by official translators that your organization employs. If its for your personal org and you want to try it out, you can try using some online translation tools.