This depends on the capacity of the indicator used and where it is placed on the leader.
Originally Posted by Jack Hise
If you put the indicator out near the tip end of the leader and the indicator has little "carrying capacity" the leader may well sink the indicator.
However, if you have an indicator with adequate capacity placed at or near the butt of the leader, the leader will not sink the indicator. This is the approach I use with whatever kind ( thread / Extreme tippet / fluoro ) of furled leader I am using while nymphing - indicator as close to the leader butt as possible for the conditions being fished. In shallower or slower water, oftentimes I'll only have a foot or so of tippet from the tip ring to the lead nymph.
My preference for the Rio Extreme tippet for fishing larger nymphs under an indicator is based on the relative ease of using the overhand knot method to attach the indicator to the leader. The fluoro leaders I've used don't furl as tightly and smoothly as the Extreme tippet, and while they will generally hold the overhand knot just fine, there is some potential for problems with the knot.
The fish are always right.