I'm currently on my first playthrough, and I fear I may have locked away a romance with Leliana until my next playthrough. 
 
I had a romance with Morrigan first, and shortly after we shared bed Morrigan contronted me telling me to basicly tell Leliana to back off. I did so, since I was afraid Morrigan would leave for good or something if I didn't, but after reading up a bit more I understood that Morrigan really doesn't care if you brake up the relationship. So I broke up with her, hoping to score with Leliana at that point, but I simply can't get her to talk about the subject. She likes me 100%, and even after I did her specific quest all I can choose in the subject is something along the lines "I'm sorry I broke up our relationship". After I broke up with Morrigan I had a romance with Zevran without a problem, but Leliana just doesn't seem to be interested anymore. 
  
I read somewhere (although, with little details) that you can manage to have a threesome (foursome?) with members you haven't had a romance with yet in the brothel. However, the girl offering the snakepit only wanted Zevran along for the ride, neither Leliana nor Alistair were asked to join (the only two I haven't had a romance with).

Shortly put: have I managed to lock out a romance with Leliana for this playthrough?

Yes.

Can't say 100%, but if you're getting nothing after completing her personal quest &maxing approval I'm pretty certain the opportunity's gone.

Ah well, as I thought. Thanks for the swift replies.

I did manage to have a romance with Morrigan first and then Leliana, so it is certainly possible. Never had to tell her to back off though, that might have locked it out.

" I did manage to have a romance with Morrigan first and then Leliana, so it is certainly possible. "

oh, and I did it in the end, read my last post in that.

" oh, and I did it in the end, read my last post in that. "