I have a Diamond Goby and we love him. Yes, he sifts through the sand and makes tunnels under the rock, that's what they do. I recommend researching any live item being considered for adding to a tank before buying them.
I never rinsed my Live sand because if I did I would have killed most of the life in it. Yes, at time the goby makes a bit of a cloud when making a new tunnel but it clears up quickly and my tank is clear 99.5% of the time, besides that it's worth it to have a nice well groomed sandy tank bottom.