No only thing they hurt is you if you get hold of it. I havent seen one quite like that on. They do multiply fast and get large I personally don't like the big ones in the tank but they are detritus eaters. cant help with the algae I cant tell from the pic what it is
I was looking for a id on the worm and it looks like a fire worm which should be removed from the tank. Maybe some that has had some experience with them will chime in here. They are a type of bristle worm but are predatory
the algae problem itself may be due to leaving your lights on too long, phosphates (remember phosphates will read zero if something is consuming them), or nitrates, how long do you run your lights? what type of water do you use (ro-di or tap) how long do you let the salt mix before you do a water change? how often do you do a water change? also does it come off easily or do you have to scrape it off? the bristleworm looks as though it may be a fire worm, but most pose little to no risk to your aquarium, now if it gets too big then you probably will want to pull it out just in case, but the smaller ones you can enjoy in your CUC (clean up crew)
After some research, those worms are not good. Do some goggling. They can sting you and they eat coral. I wood take it out personally.