Dwyane Wade has had a good career at the Miami Heat. But, he is his own person and he is perfectly within his rights to explore and discuss other options with other teams. If he ruins his own relationships with either the team or the fans, that is on him. He is an adult and can make his own decision on this.
Depending on the contract expectations for Wade and his representatives, a potential pursuit by the Cavaliers would likely put into motion a wide array of roster moves to accommodate the veteran, which could include trading mercurial power forward Kevin Love, as well as parting with role players such as Timofey Mozgov, Richard Jefferson and Matthew Dellavedova, For the Heat, it is likely that a full-blown rebuild will ensue should Wade leave the team in free agency.
There is no loyalty in sport, no false illusions of playing for a single team in perpetuity. If the Miami Heat are unwilling to build a team for Mr. Wade, and he is unwilling to accept a mediocre product on the court then he should just move on. Somebody will doubtless pay him handsomely for his services.
No, Dwayne Wade should not leave Miami Heat nor look for other options outside Miami Heat. He has stayed with the team for 13 years and with them. Together, they have won three championships, which is no easy task. Without Wade, the team might not have the success that it's had for all these years. Wade has also had some health issues in the last few years, specifically his knees, and leaving Miami Heat might just put more stress on him.