I have noticed that they are opportunistic to corals that aren't doing well. Especially zoos...
If the coral isn't doing well from poor lighting or flow or water conditions there is a chance you will find the stars on the coral "eating" them (from what I can tell).
I have also dropped two harlequin stars into my tank and am waiting for results. It sucks to buy $50.00 of shrimp to control "free" critters.
I would take them out but as you can see, many people say they are harmless. I recieved them from another member I got corals from. I remember seeing his tank and saying "oh wow look at all the starfish! Did you buy them?"
Now my tank has over 1000... not exaggerating... probably a low estimate... and... the tanks only been up for 18 months!