they squirt when they are out of the water as a defense mechanism.
not all Z's and P's produce palytoxin from my understanding, but it is unclear which ones do and do not. what is clear, is that some do, and it can be extremely dangerous if handled incorrectly.
some people will experience non-contact dermatitis, although most reports i've seen result in some form of contact with the skin, e.g. brushing up against them while cleaning, or from an aerosolized delivery such as killing off Z's or P's with boiling water, boiling or cooking live rock (NEVER DO THIS!), etc... etc...
many people keep them without issue, but i personally didn't care for the risk, so i removed them all from my reef over two years ago. i don't regret it. they're like a weed and just take up space from more interesting corals. that's one man's opinion, so take from it what you will.