I too have never seen broccoli or cauliflower sold with leaves still attached, however the leaves should be perfectly edible, and I'd suspect rather similar to greens like kale, collards, or the tough outer leaves on some varieties of cabbage.
I suspect we don't see them whole in the store because the heads with leaves attached would be too bulky to transport efficiently, leaves would snap off and deteriorate faster, etc... That, and most people simply don't cook greens like they used to, and its even rarer to see whole plants used efficiently. For example, nearly all recipes I've see including kale are "kale leaves (stems discarded)" when the stems are actually quite tasty, they just need a different preparation method (soup works great)
I got some fresh Savoy Cabbages a week or so back, was in a local grocer's holiday season flyer, and I've never seen ANYTHING like them before. Each cabbage weighed upwards of 7lbs, and had every single leaf still attached, many of which were at least 2ft long and a foot wide. I realized that to get the typical small, semi-loose head of a Savoy Cabbage they likely have to discard at least 60% of the leaves by weight, if not more.