The real issue is stopping or slowing the firing pin before it strikes the inside of the slide. With a Glock, leather or rubber are probably not going to do that. With firing pins that can protrude further, a soft material may work, if they decelerate the pin prior to hitting the inside of the breech face or a stop pin, then they are doing the job.
The 9mm that I use mine for occasionally may be acting as Bill says - the pin will not protrude far enough to poke all the way through that leather. It probably is still getting at least a little benefit.
Thanks for making me look at that, Bill. If I do a lot more dry fire I'll grab some real caps, or make something with metal and RTV.