I don't see how the body could scream without a human consciousness inhabiting it. Bodies don't just scream on their own; that's something that only a conscious, living entity can do.
That said, perhaps there was a remnant of the real Leland in there after all - no longer in control of his own body, but forced to sit there and watch while Control wreaks havoc in his name. Kind of like what happens to a human host in the Stargate SG-1 universe when a Goa'uld inhabits the body (the host remembers everything the Goa'uld does, sees everything the Goa'uld sees, but is powerless to do anything about it).
So maybe that's what was doing the screaming - the last remnants of the real Leland.
As for Georgiou: She was equally disposed to hate Leland
and Control. Georgiou and Leland never got along even before Control took over Leland's body. So I can buy that she would gloat over both of their deaths - Leland the human, and Control the entity. Hell, I doubt she ever believed, or cared, that there was a difference.
Premier Bhavani (from TNG's "The Price") seemed like a fairly even-tempered individual.
I admit that it's really not possible to get a read on Barzans, as a species, based on only two characters, but I see no reason to assume anything unusual about them. As we've said, Nhan could simply have a unique sense of humor - there's no reason to think she's crazy. She hasn't
done anything to suggest otherwise. And of course she wouldn't be able to make it in Starfleet if she
was crazy.
And the fact that Barzan isn't a member of the Federation...that's not really anything to go on, either. In "The Price" we learn that Barzan is a world that is somewhat lacking in resources, and they don't even have interplanetary spaceflight capability. If anything,
those would be the reasons why Barzan is not part of the Federation, not any intrinsic crazyness on the part of its native species.