I've done it both ways at 70 in PVP & PVE, & I feel that for me:

Mage Leading:
Better Overall survivability of the main. I am able to use the Frost Pet's Freeze ability in ways that I couldn't with the priest as the lead.
Heals are marginally harder to coordinate well, its not bad but it's noticeable.
DPS is marginally easier to coordinate in my opinion.

Priest leading:
Easier, but Less effective overall. Priests are squishier than mages, Lack of Iceblock is a killer. it's usually the main that takes most damage in most multibox setups, & I just feel that mages are slightly beter suited.