Sundowns last week announced the signing of Jali on a five-year contract, ending speculation he could return to Pirates or go to their Soweto neighbours Kaizer Chiefs.
The 28-year-old helped Bucs win the 'double treble' from 2010 to 2012, forming a devastating partnership in midfield with Oupa Manyisa, who is also now at Downs.
"I and him [Jali] we spoke and you know sometimes when someone explains to you, you tend to understand what are the reasons," says Lekgwathi, who retired in 2016.
"Obviously I'll give him my full support. I played with Andile; Andile grew up with us because he came to us when he was a youngster [in 2009], competing with Benson Mhlongo [for game-time].
"So he came to me and I told him, 'You know what, be strong my boy. This badge of Pirates you must make that you wear it with pride'.
"You can see him, he's a lion. So at the same time I'm happy for him to go to Sundowns.
"Obviously as a Buccaneer we still love and we care about him."
A number of men have played for Pirates and then Downs, such as Linda Buthelezi, Innocent Mdledle, Benedict Vilakazi, Tyren Arendse, the late Gift Leremi, Mbulelo Mabizela, Lebogang Mokoena, Teko Modise and 'Ace' Manyisa.