Yes, a Copy Leader can change between different asset margin modes at any time.
However, please note that if your Copy Leader account has open positions for a Prediction Markets contract or one using Isolated margin, it will not be possible to enable Multi Asset Margining until the positions are closed.*
To confirm your margin mode, you can check the Order Controls panel which can be found on the top right corner of your trading UI, as shown below.
*Note: BitMEX does not currently support Multi Asset Margining for Isolated margin or Prediction Markets positions. This means a Copy Leader account with open positions in either contract type will not be able to enable Multi Asset Margining until the positions are closed.
Learn more about Multi Asset Margining here: https://www.bitmex.com/app/multiAssetMargining#Multi-Asset-Margin