I had a Yoshimura slip-on installed the other day.  Sounds great, looks great.  After reading some posts here, I thought I'd check to see if there was any leak.  At normal idle I couldn't detect anything, but with choke on and ~3500 RPM there is a very, very slight leak (if you put your hand pretty much on the pipe, you can feel a slight amount of vapor).  I talked to the guy who did it, who knows his stuff, and he said it's normal for a slip on to leak slightly, and is in fact beneficial so water doesn't get trapped at the attachment point.

Thoughts?

When I installed my slip-on i had the same type of leak but it was a little noisy - I took the slip pipe off and sealed it inside with some hi-temp silicon
Water build up would only be an issue if the majority of your rides were short (i.e. exhaust not getting hot enough to vaporize the water)

I'm not noticing any noise or anything like that, so I guess I'll just leave it as is unless something comes up.