Hi Jay
There's no problems crimping a leader... but here's some rules I stand by to minimise having failures when on the water.
Rule #1 - Use the correct size and style of crimp for you particular leader material... you would be surprised how much crimp strength varies between differnt brands of leader. Some leaders prefer aluminium sleeves and some prefer fig 8 copper crimps and some just prefer a uni knot(or whatever your preferred knot is). Also, make sure that when you slide you crimp on, it is a snug fit well before you start crimping.
Rule #2 - Test everything! I use a set of Shimano 45kg scales and every leader/crimp/knot gets tested, ie I pull a rigged 120lb leader to say around 35kg to test for weak points. This is also how I know which crimps/knots to use on which leader material. It also tells me which material prefers a thimble - flemish eye - line guard etc.
Rule #3 - Crimp with the correct technique and the correct tools. Always leave the ends flared and dont over/under crimp... as in, use enough, but not too much pressure. Finally, make sure you use the correct tool for the job... I've had the Jinkai crimpper for years and it's been great.
Hope this helps