http://www.reefs.org/library/article/r_toonen7.html
There it says in the 1st and 2nd paragraphs:
"
They are active animals, and rapidly crawl about the tank at night while feeding -- this can be a problem for sensitive corals because their bodies, although lacking tube feet, are covered in hook-like projections of the body wall ossicles. Although generally not a problem, these hooks are used in locomotion, and can catch and tear the tissue of animals (including the cuke itself -- especially during shipping), especially if the cuke is startled and retracts suddenly.
No they are definitely not filter-feeders. Some species appear to be commensals of sponges, gaining at least some of their nutrition from sponge waste products, but in general all these apodid cukes are feeding on organic detritus collected from surface sediments (and I assume any imported for the pet trade are of the latter category). "