Leon and Rachael both have fake family pictures to go along with their fake implanted memories… and so, perhaps, does Deckard, if he really is a replicant himself. In Rachael's case, her memories and her pictures were actually copied from those of Tyrell's niece. As Tyrell explains, the memories help provide an emotional "cushion" for the replicants—instead of acting really weird, and having strange reactions and off-key ways of expressing empathy, the memories allow the replicants to behave in a more fully human manner.
The pictures also relate to the question of identity. If memories help determine what a person really is, then whois someone who has entirely fake memories? Does Rachael really have a self of her own, or has it just been borrowed from the woman who's memories she now possesses?
That's an interesting question, and it makes us think about whether we would really have an identity without our memories. Are we just the product of the things that happen to us, or is there something in us that exists beyond those experiences, something more essential?
Interestingly, when Roy comes to die, in his final words he says he cherishes his memories—and not apparently fake memories, either. He remembers moments from his real life, engaging in combat missions on the Off-World colonies. In this way, he's affirming his own authentic identity, even as it slips away from him in death. At the same time, by demonstrating real empathy and allowing Deckard to live, Roy is asserting his true humanity against the forces that have tried to make him nothing but a killer and a slave.