If added from fishless tanks generally your ok, but parasites can live on there shells. Never add the water they come with.
I don't add the water that comes with anything I get. My main concern arises from the fact that, while many retailers do put their inverts in separate tanks from the fish, the tanks share system water. So the parasites can travel. I found out (after the fact) the store that sold me the fish that caused my recent problems has all of its tanks on a single system--and they don't treat it with anything but garlic. So if one tank is infected, they all are. This, by the way, was my introduction to the importance of quarantine!
Other stores I've talked to do have some level of water sharing between tanks, even if they don't have all tanks on a single system. As a matter of practicality, I get it. Larger systems are generally more stable, and they require less equipment overall than several smaller systems. But it can be a problem if the retailer (and the customer) is not careful. One little unwanted hitchhiker can cause a lot of problems. (I mean, just look what happened with John Rambo!)
From now on, I'm taking the 'better safe than sorry' approach and isolating anything wet for at least 4-6 weeks!