Generally, not all leasehold land require the consent of the State Authority to transfer. The important thing is, when doing a land search, is to look for a column which states Sekatan Kepentingan (Restriction in Interest).

If it is stated TIADA, then there is no need to obtain consent.

If it is stated Tanah ini tidak boleh dipindah milik, dipajak atau digadai melainkan dengan kebenaran Pihak Berkuasa Negeri, then you would need to obtain the consent of the State Authority.
For leasehold properties in Selangor, if it is an individual title for a landed property - then reference has to be made to the title (via a land search) to see if there's any Sekatan Kepentingan as elaborated above. Same rule would apply for a Master Title in cases where strata title for a building has yet to be issued. See what is stated there.

If it is a strata title, then yes, one would have to obtain consent of the State Authority.