Is "that led us" phase is correct?
Yes. It is correct. 'That' is being used as a conjunction. See usage (4) below.
Or the correct phase is "those let us"?
No. 'That' (conjunction) does not change to 'those' for plurals.
1a. Used to identify a specific person or thing observed or heard by the speaker. "That's his wife over there"
1b. Referring to a specific thing previously mentioned, known, or understood. "That's a good idea"
2a. Used to identify a specific person or thing observed or heard by the speaker. "Look at that chap there"
2b. Referring to a specific thing previously mentioned, known, or understood. "He lived in Mysore at that time"
3. to such a degree; so. "I wouldn't go that far"
4. introducing a subordinate clause expressing a statement or hypothesis. "She said that she was satisfied"
5. expressing a wish or regret. "Oh that he could be restored to health"