I find it depends on the graphic sets. In some graphic sets I try to avoid it (the Tree grapihc set is a good example of this), while some others are pretty much designed to have floating terrain (Sky graphic set being the perfect example here). Even in those graphic sets, I generally don't apply that rule so much with the steel pieces (which could also themself be "supporting" other pieces), and in all cases making the level work properly overrides any concerns about whether floating pieces are suitable if the two cannot go hand-in-hand.
At the same time, the nessecity to sometimes have floating pieces also influences my graphic set design. In some cases I've had ideas, but ultimately decided against using them since they'd look too strange in my opinion with floating pieces.
Out of interest, I decided to look through my 5 large packs (Lemmings Plus I ~ IV, and Omega) and see how many levels in each made use of floating pieces, to see if my tendancy to do so has changed over time. In all cases, I've not considered a piece to be "floating" if it's attached to any side of the level, not just to the bottom. I've also excluded certain cases, such as the lettering in the Fire graphic set or the stars in the Crystal graphic set, or parts that are resting on top of water; on the other side I've also counted things as floating in cases such as, for example, a Brick level where the only connection between a piece and other pieces (or a side) is chains hanging below the piece.
LPI: 22 levels containing floating elements, 7 levels entirely (or almost entirely) floating (does not include Pre-V7) <14.7% / 4.7%>
LPII: 16 containing, 2 (almost) completely <15.2% / 1.9%>
LPIII: 13 containing, 4 completely <18.8% / 5.8%>
LPOmega: 29 containing, 16 completely <21.5% / 11.9%>
LPIV: 23 containing, 13 completely (28.8% / 16.2%>
It actually seems like I've become more willing to do so over time, but I also notice it's become more concentrated in specific graphic sets. For example, in LPIV, all the completely (or nearly-completely) floating levels are in the Space graphic set, as are the majority of the partly-floating ones, and a lot of the remainder are Candy; very few Clockwork or Wasteland levels have floating terrain. Sky (and to a lesser extent, Psychedelic) has a similar status in Omega; as do those two graphic sets in the games they originally appeared in (with Martian even having no floating terrain whatsoever in LPIII). So, I guess that what I originally thought held true (at least for myself) - it really does depend on the graphic set.