What are your water parameters? How old is the system?
Is there algae growing elsewhere in the tank? What color, texture is the algae?
Algae will grow best in high levels of nitrate. Water changes should help control it. And cut back on the feeding.
Algae on the seahorse should be removed. It can "suffocate" the skin and cause bigger problems. You should be able to gently syphon the algae off with a small medicinal syringe, or gentle rubbing of the area.