I would say it depends on your situation. For my citrus air layers I usually prune them back or deleaf some because that reduces the water loss from transportation, and conserving water is important for the air layer at this stage where the small root mass is usually not established enough or expansive enough to uptake enough water to meet the needs of a large canopy (this is one of the reasons they are placed in shade initially as well). Once done, in my experience, the air layer will only begin leafing out after the roots have settled a bit and only puts out what the roots can support, so flushing caused by pruning an air layer has not been a concern for me.