Greetings Beata:
Cottonwood trees are one of the first trees to shed their leaves -- often occurring in late summer. Therefore, I would not worry about early leaf drop.
The "sap" that you are describing is probably wetwood (slime flux). There is no control for this common tree disease other than maintaining tree vigor and health (proper watering during periods of drought, proper fertility, etc.). Trees that are under severe stress may need to be removed; however, a certified arborist should be consulted before making such a decision.