If you like it then no, theres no actual harm in keeping it. They do however spread quickly and are considered a nuisance because they sting and can harm other corals that you will surley add later to your tank. It is easier to get rid of them at first notice of them rather than have tank covered with them and having to fight with them constantly.
Hard thing to do for a newbie to kill the first thing growing in your tank, but it really is best practice to rid the tank of them so they dont take over.