I too encourage biodiversity, but I always freshwater dip any macroalgae that I receive.
Years ago at a LFS we had some Banggaii cardinals in a refugium full of Chaetomorpha (~40 gallons), trying to let them breed. We'd find them dead occasionally, chewed apart. When we finally gave up and drained the tank, we found a large predatory isopod amidst all the algae; he's still preserved in formaldehyde behind the counter. Extremely large and scary.
Obviously this isn't normal, and almost certainly wouldn't happen in a small scale purchase of algae. You're probably many times more likely to find mantis shrimp in your live rock. But, it's always made me suspicious of algae from anywhere else, especially wild collected. Good luck.
Edit: Wow- this thread is pretty old. I guess it's kinda late for advice. Sorry.