Straight up.
If you have leaks around the penetration..........somebody did it wrong
If you are talking masonry chimneys then I completely agree. But you might be surprised by the amount of leaking masonry chimneys (built and flashed by others) that I've been called to repair. It seems like the concepts of step and counter-flashing are lost on many builders.
If it's a steel pipe I won't touch it, call someone else. IMO, a steel pipe through a roof is a leak waiting to happen. There just isn't any good, reliable, long-term way to properly flash them.
I have a steel pipe through the steel roof of my camp. It doesn't leak but I go up there every other year and schmutz it with roof coating.
I had a steel pipe through the roof at home, It didn't leak for the same reason but rain water coming down the pipe (it had a cap on it) mixed with ash and creosote and ate a hole in the steel smoke shelf of my woodstove.
I built a masonry chimney and ran the stove pipe through a UL rated wall pass-thru into a masonry thimble and into the chimney. The chimney is properly step and counter-flashed and maintenance free as far as leaks are concerned.
I've never had any draft issues with my Quadra-Fire.