I hail from Florida and also have the opportunity to catch wild critters.
One of the best things I've learned, and fortunately not the hard way is that if you're going to catch local things, QT, QT, QT, QT and QT!
If ALL of your livestock is local caught 100% I don't see it being *too* much of a problem but you never know what kind of germ, virus, hitchiker, or crud in general you will be bringing into your tank.
Those of us with reef tanks need to be especially dilligent. I like going to the shore and catching things but 9 times out of 10 I'll release becasue I am able to ID and know it isn't safe for my tank, gets too big, might have a funk I don't want to release into my tank or what have you.
Also the opposite is true- once something goes into your tank and is no longer in water from outside? DONT put it back into the ocean. You could be contaminating open waters with any kind of microbe and that could be bad. More specifically this concern is lets say, I have corals from the pacific in my tank. If I took something from my tank and let it go free in the wild here at the atlantic or gulf (say, an annoying fish) it could have stuff living on \ in it from the pacific that is foriegn to local waters and it could be detrimental.
I cannot stress how important these practices are to keep our tanks and waters safe. - Like I said if you're 100% locally caught and you're dealing with that coastal water all the time, you're probably in the safe because there's no containminants but when you go below 100 i'd begin to worry.
Also, be very careful of any algae especially you collect locally. We use it in our tanks to soak up unwanted nutrients - in the wild if its near any kind of boat traffic or other pollution its sucking up that nasty stuff and you realllly don't want that in your tanks.
Sorry to get on my soapbox about this but while the idea of collecting is truly indeed an enchanting one, it really is best to be safe and responsible about it!