Yes, you can do this.
None of the Progress Cards have prerequisites that must be fulfilled. The rules do not give any limit on playing a Progress Card that's related to whether or not the Progress Card would help you at all.
Here's the full rules for Playing Progress Cards:
Playing Progress Cards
During your turn, you may play as many Progress Cards as
you wish. All Progress Cards may only be played after you roll
the dice (exception: the “Alchemist”). Here are some specific
rules about the play of Progress Cards. More detailed
instructions about every card can be found in the Cities &
• Victory Point Cards must be played immediately when
drawn. The spy may not steal them, and they cannot be
hidden in your hand. These cards do not count against
your hand limit of 4 cards.
• You may never hold more than four Progress Cards in
your hand. If you draw a fifth Progress Card, and you
cannot play it because it is not your turn, you must
discard one card (of your choice) to the bottom of the
• Progress Cards may be played on the same turn that they
• Progress Cards may not be traded with other players,
nor may the robber steal them.
• When you play a Progress Card, place it face down under
the appropriate Progress Card stack. Victory points,
however, remain face up and in play.
Playing a Wedding card while you are in the lead does not go against any of these rules. As a matter of language, if you do something "for each" of something, and there are 0 of those things, then you simply do that thing 0 times. So when you play Wedding, you check which opponents have more victory points than you, and any who do must give you 2 cards. If no opponents have more victory points than you, then no opponents give you any cards.