Are you talking about the tiny ones that come in as hitch hikers? Or the large ornamental ones you can buy at the LFS?
The ornamentals that the LFS plus coco worms are hard to keep IME despite a concerted effort on my part. They need to be target fed live phytoplankton & possibly zooplankton or they starve. They also can eat some detritus or marine snow if the particle size is appropriate. With that kind of feeding nutrient levels can build and usher in an algae bloom in a typical reef tank. Some who have claimed to have kept them alive for long periods say that blowing off your rocks with a turkey basted frequently can provide a meal.
The little volunteers that appear, often in huge numbers, in mature aquariums are hardy and their numbers will rise & fall depending on the amount of food in the water.
They all eat out of the water column. But unless present in huge quantities, they probably don't clean the water enough to make a difference in cases of high nutrient export requirements.