Journeyman is right on the money, however:
Having a sand-sifting cucumber is no more dangerous to your tank than having a clownfish or a rock with shrooms on it.
Only the filter-feeding cucumbers are potentially hazardous. Even then, you would have to literally pick the cuke up and squeeze the life out of the thing for it to get scared enough to release the toxins. You see, they die like 75% of the time after releasing the toxins (their guts)... so they use this tactic VERY sparingly.
I have personally pried a sea cucumber off of a rock (never a smart move) and the little guy still didint expel his innards. I used quite some force too. I believe something horrible has to happen for them to poison the tank, like a live rock crushing them or a powerhead chopping them to bits.
ps- if you decide to get a filter-feeding cuke anyways, make sure you dose lots and lots of phyto for them to eat or they will starve. However, I recommend that you get a sand-sifting one. Just make sure you have live sand no bigger than 1mm diameter or the cuke can starve. They will die with crushed coral for instance.