At Troutfest last spring, Lefty Kreh said he thought braided and furled leaders "threw some spray" when landing. I've read somewhere about "waxing" or putting "fly float paste" on them to repel that water uptake. I belief is that your leader should not pass over the fish anyway only your tippet. I used both types of leaders in YNP last summer and feel I didn't have that much difference in catch rates. The only stream nymphing I did was a shallow Hopper-Dropper system so the furled leader wasn't an issue. For fishing the Beartooth Mountain lakes or dragging a big stonefly nymph, I most definitely prefer a knotless. I picked up a supply of both off another board last week so I'm going have to "test them" again this summer. There is a "Furled Leader" website you can google.
I used to tie my own leaders but decided purchased ones were just as good. Knot issues.
Any advantages with a furled leader, I feel are negated by switching leaders if you change your dry fly to nymph moderate to deep pool.