You have a very nice rhino blenny there. This particular blenny is quite rare in the trade, actually. Simple enough to care for, just treat him like any other blenny. And yes, it's normal for him to crawl around like that... They act a bit odd sometimes, but it's just their thing.
He could very well have come in on a coral, potentially as a baby. I've seen those little hole-dwelling gobies as hitchhikers, and this guy is better disguised. Great find, congrats!