It is not likely to feed on corals (and this is flawed as those that are "coral eaters" will eat things like button polyps and such that are in their path, but not big corals), but it might. To be honest, a bit hard to tell from the photo because the animal is so small. Might be a wait and see if it does anything....most urchins do not feed on corals...however, a few do.
Pencil urchins are the non reef safe variety, but I am not sure how common they are as hitch hikers. Most hitch hikers are forms like Echinometra which are 'rock boring' urchins and live in the rock (but are grazers). Most urchins are grazers, and are harmless. They will get larger, however, and can bulldoze improperly secured corals and rocks. This tends to be the biggest problem. IMO, it would be fine, but you may wish to trade it in. I have my bias (and it is for echinoderms
). Seems really tiny though. What kind of rock do you have?