Depending on the type of algae. If it's green cyano, you can just blow it off. If it's green hair algae, it won't blow off. If you scrub it, you must be extremely careful. All Euphyllia have a band of tissue that wraps over the edge of the skeleton. It looks like a white film that should extend down past the edge at least 1/8". If that gets damaged, the head usually perishes from infection. So you have to be careful not to damage it. But the presence of GHA on your coral, the tiny air bubbles, and the fleshy portion being retracted tells me your PO4 is too high and your coral is unhappy.
Any idea of your nutrient levels?