It does make sense. Oyster is a TfL/London product. Leatherhead isn't in London and has no TfL services. The only reason you can use the bus is because a) they are TfL services, and b) the Zones don't apply to buses.you don't expect these things to be simple and / or make sense, do you?
Cheapest and easiest would be SW Trains to Chessington South (which is inside zone 6 and therefore Oyster-able) and change to the 465 there.
The railway line from Chessington South to Leatherhead was started but nothing like completed in 1939, and the post-war 'green belt' legislation meant it wasn't worth completing. Some remains can be seen. More here.
You can get an extension ticket. Ideally you'd ask the ticket office for a Boundary Zone of whatever the outermost Zone covered by your pass is to Leatherhead ticket, but don't ask me how it works with Oyster.
^^^ this ftw
