The energy-momentum tensor is defined by
$$T^{\mu\nu}=-\frac{2}{\sqrt{-g}}\frac{\delta S_m}{\delta g_{\mu\nu}}$$
where $S_m$ is the matter action
$$S_m =\int d^4x\sqrt{-g}\mathcal{L}_m$$
and $\mathcal{L}_m$ is the matter Lagrangian-density. If the total expression is a tensor, and the determinant of the metric is not a Lorentz scalar but rather a density, then that leads me to conclude that
$$\frac{\delta S_m}{\delta g_{\mu\nu}}$$
must be some kind of tensor density, rather than a full-fledge Lorentz tensor. Is this correct? If so, how is that possible since the action integrated over $d^4x$ already contains a $\sqrt{-g}$ in the measure? How is the variation of a Lorentz scalar ($S_m$) with respect to a tensor (the metric) not itself a tensor? When people write the energy-momentum tensor as a variation of the action, do they actually mean a variation of $\sqrt{-g}\mathcal{L}$? In that case I think we're really definining the Energy-Momentum Tensor-Density.