Personally, I think for 75% of the time the fish don't care.
I also think a lot has to do with the brightness of the sky. The higher the sun and the lower the sun means that the fish are hitting silhouettes and therefore a floating leader gets lost in the light. (that's my theory anyway). If the sky is a little dull, then the fish can see the fly and thus the leader far more clearly, so sinking might give the angler an advantage.
Fish are used to seeing all sorts of debris floating above there heads and unless a fish has been caught and released several times in a season, I doubt they associated a "leader" as dangerous in this context.
However, there are times (light conditions) where I think a sunk leader "may" help although I think an angler fishing with confidence is more likely to catch, so if sinking helps with this...they will catch
I also think that we forget that what a fish sees is very different to what we see. They are far more adapt at seeing things under the water than they are on top of the water.