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Hard to say for sure from the pic, but seems to be a polychaete with two large palps, so (assuming it's not literally microscopic), I would guess either a Spionid or Chaetopterid. Unless it's boring through rocks/corals, it shouldn't be an issue:Weird. Have no idea, but maybe @ISpeakForTheSeas knows!
In this case, it's probably a Chaetopterid worm - they're very similar to Spionid worms, but they tend to prefer burrowing in the sand instead of in the rocks, and they reportedly tend to have longer palps.
That said, I say probably because to make a proper ID involves removing the worm from its tube and getting pics of the body out of the tube, which just isn't feasible.
Generally, these aren't a problem unless their numbers start getting out of hand.