Everyone (well, anyone who is a fan of DiCaprio) knows that he won his first Academy Award for Best Actor at a specific point of time in the past, now whether the year was 2017 or 2016 it matters not. DiCaprio cannot go back in time and win the same Oscar a second time.
In other words, I'd use the simple past if I need to mention a specific award won by a person, especially if it was "unique" or particularly "memorable" in some way.
Wikipedia uses the present perfect tense in the following excerpt because, presumably, the movie could still earn one or more awards sometime in the future. It's very unlikely it would, but it might happen.
The Revenant has received numerous award nominations and wins, particularly for DiCaprio's performance, Iñárritu's direction and Lubezki's cinematography.
In this excerpt, the author uses the simple past because a date was mentioned
On January 14, 2016, the film received 12 Academy Award nominations (more than any other film at the ceremony), including Best Picture and Best Director for Iñárritu, as well as Best Actor and Best Supporting Actor, for DiCaprio and Hardy, respectively.
Thus, the OP's sentence should read
Leonardo Dicaprio has won many awards, the most prestigious one is the Oscar for Best Actor that he won in the film, The Revenant.