Saw this growing out of my candy cane coral?

Yes. The web can irritate a coral and prevent PE. If there is no PE, the coral can die and be overgrown. That photo is from another reefer on RC, 64Ivy, who did that as an experiment by placing the coral in the middle of a highly infested area. This is a ridiculous scenario though, first of all, getting to that level of infestation is really quite impressive and any diligence on the part of the reefkeeper to kill them when encroaching on a coral would easily prevent this. This only occurred because 64Ivy purposely set up a scenario to allow it.

 

So removing them when able is a good idea? I agree.