Bristle worms are scavengers.
Very few are coral predators ,some eat sponges but generally they are quite usefull : eat leftovers from fish food, they eat any animal that is decaying, they turn on the substrate, etc etc..
People usually remove them because they dont know which ones they have. Your milage may vary.
Good visual guide here :
Worm Hitch Hikers
I usually leave them unless I start have misterious fish disapearing or corals that seem "irritated" with no apparent reason.
The problem is, if you want to take them out, its a PITA to do it in an established tank.