They usually recommend that wads not be used when shooting sabots, as the sabot itself acts as a wad. I've shot wads of one form or another, everything from cornmeal, cotton cloth, to wool felt under conicals for a very long time.

Some rifles like a wad of sorts. I have others that hate a wad under a conical or roundball. But I see no danger what so ever in using a wad under a conical to protect the conical base and make a more even pressure flow out the barrel..

Of course this is just my opinion...