Do you have any livestock in your tank yet? :) A refugium is a great way of keeping nutrient export in check- it can be a very, very effective filter actually!
Without sufficient nutrition going in the system, the refugium will starve and whatever algae you are promoting in there will not thrive and ultimately die.
I did set up my refugium just after finishing my cycle which was probably not the best time to do it. I did make sure to feed it plenty though and I did introduce a fairly high bio-load to my tank quite fast.
Today a year down the road, I have no socks, no roller and no other mechanical filtration. I do have a large, well lit refugium taking care of all my nutrient export together with a protein skimmer.