I agree to try to remove it or kill it, especially when it is located among corals like that. The small ones can multiply like crazy and soon your rocks are totally covered.
It's hard to tell if that is one of the ones that stays small or if it would get bigger, but either way it will bother those corals.
I have one that is about a half inch diameter and several inches long that I've had for several years as a pet, but I'm not normal. The big ones don't seem to multiply readily and they're kind of interesting.