Sexton struggled to find his best form following his return to Ireland from Racing 92 at the beginning of this season but kicked 15 points at the RDS last weekend.
"I think our senior players really stood up on Friday night, really grasped the game and played extremely well," Dempsey said.
"Johnny has been exceptional, a really good leader off the field, but we're fortunate that we have a number of guys who are in the position to do that as well.
"But I think you look at the way he managed the game overall and the way he brought the backs and forwards into play, and the way he managed his kicking game to put pressure back on Ulster, it was exceptional.
"Off the ground his kicking game was brilliant and I think his all-round game was excellent, but I think a lot of the players spoke about the atmosphere after the game in the changing room and it was the best that they've experienced in a while.
"They fed off the crowd because the crowd got into the game and they said it was just unreal. It's massive credit to our supporters who really showed up and gave everything to get the team going."
Leinster's opponents in Saturday's final are Connacht, who finished second in the Guinness PRO12 league table with the fourth greatest try tally.
It's been a remarkable season for Connacht, who before this season had a best finish of seventh, and Dempsey is well aware of the threat they will pose at BT Murrayfield.
"Connacht have been consistently on the attack throughout the season, they score tries and challenge you in every facet of the game from a strong set-piece to a wide attack," he said.
"It stems from their set-piece and everyone knowing their role. It's been very effective every year and it's a challenge for every team to negate that attacking game.
"Defensively, you look at the last two games against Glasgow and they were very strong so they've obviously worked on that, so any game, especially a final, you don't take anything for granted.
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Guinness PRO12 Leinster News
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