Actually, we can say both, probably with slightly different meanings. I'd use "in the tree" for something not actually attached to the tree, i.e. I'd say that my kite is stuck "in the tree" rather than "on the tree". Something that is actually attached to the tree, however, like a shelf mushroom or a leaf or bark, would be "on the tree" rather than in it.
To be honest, as others have commented, I'd find it more helpful to "fix" the Finnish words and grammar in my head if we were allowed to use a more direct translation, which works just as well in English to be honest. Eg, "in the tree there is a strange leaf or on the tree is a strange leaf." Adding the extra, non existent words seems weird, but then again, there are many instances where you can also drop "the" or "a" and it will still make sense in English. I do get that the point is to tie together translations, and that is probably very useful for a Finnish speaker trying to learn how to speak English fluently and with fluent grammar, but the way my head works, trying to think my way literally into the Finnish word order (or lack of words) seems more helpful. In effect, I am an English person trying to learn Finnish grammar and want to get into that headspace. Direct translations make sense!