The exhaust system must be sealed at all points, especially at the cylinder heads and at the crossover if there is one. Leaks in these areas will make getting a good tuneup impossible, and can very well lead to holed pistons or warped valves, and the consequences. I am uncertain if it is so essential to seal slip-ons to the headers, but i expect so.
Leaks at the cylinder heads, either intakes or exhausts, are to be taken very seriously.
I read somewhere that a bike was having a coughing problem after he changed his slip on exhaust. He also retuned the carb and still could not trouble shoot. He traced back to what he did last and found out that one of the clamps on the pipe was cracked .