I kind of wondered the same thing, as well as the benefits of a furled to knot less tapered leader. I found the video below on making furled (twisted) leaders and decided to give it a whirl. (bad pun not intended.
After a couple failures, I got pretty good at it and can finish a leader in about 5-10 minutes. And they cost me about 10 cents to make. With the twisted leaders I noticed a gentler presentation with the fly.
But I think, like Shane said, to catch a fish on a fly and leader you made.
Now I have a question that maybe you guys can answer. I've read that furled leaders are better in almost every fishing situation(point of view, I know.) But, what situation would be better suited to use a tapered knot less or level leader? I haven't been able to find any info on that.
I've heard that when fishing with streamers it is better to use a level leader, but that's about all I've heard.
Here is the video: