McLeish said: "I just hope that we are not nurturing Mauro for someone else to get the benefit of him.
"Yes, he's finding his feet and I know the purists say you shouldn't be making a dribbler and ball player defend - but it is the way of the modern game.
"You see the great players like (Carlos) Tevez and (Cristiano) Ronaldo working so hard when Manchester United don't have the ball and it is a side of the game Mauro is learning, but he is undoubtedly a talent.
"I think he has got something nobody else can give us. He can beat a man, he's exciting and I want someone in my team who can make a difference. He's getting to realise where he can lose the ball and where he can't lose it.
"He took a step forward from the Portsmouth game at Reading last week, and was excellent against Manchester City. He is a fantastic young prospect." He added: "I don't know the ins and outs of the owners of Zarate or his agents. I've got him on loan. Anything else depends on the outcome of the season.
"Hopefully we can retain Premier League status and can talk to Zarate about staying on for another season."