You should consider dipping all corals that come into your tank for pests. You may wish to consider Bayer as your dipping agent until something superior is found. Candy canes are not likely to harbor pests but nasty things can be guests on any coral Dipping always has the potential to harm your coral but Bayer has seemingly been reasonably kind. Regardless of the cost of the coral, I believe the benefit of preventative measures like dipping outweighs the risk
Protection for your safety should be done as well with any potentially hazardous or dangerous chemical or insecticide.
There are posts on this forum that you can review about the dosage and method