Goldmoon -- This creature is DEADLY! It's gonna be touch-and-go here, but if we act quickly, I think we can still save your tank from this dangerous stow-away. IMMEDIATELY pack the evil little devil in a Styrofoam cooler, add a cold-pack, and Overnight Fed-Ex it to me for safe disposal....
Sorry about that, but I tend to get a little jealous when others get cool critters for free. With any stow-away, I presume reef-safe until proven otherwise. Except for something obvious like a blue-ringed octopus or toxic Cone Shells, very few such rock hitchhikers pose any real immediate danger.
With an urchin, one real consideration is the sharpness of the spines. Very sharp urchins can damage the delicate one-piece expandable tissues of some LPS corals, like Plate Corals. (They have also been known to puncture the fingers of careless reef-keepers.) Urchins can also sometimes bulldoze the aquascape if they grow very large and clumsy.
Another charge leveled at urchins is that they can eat the fancier kinds of desirable Calcium-bearing algae. I don't consider this a problem if the urchin population is low compared to tank area. I think their activities actually benefit the Coraline over the long run, as it grows back even thicker than before, and the little chewed-off pieces spread to other parts of the tank where they adhere and grow.
One definite plus of urchins is that they eat undesirable algae that tends to flourish in new tanks until they mature. Some reefers buy them just for this purpose, and overlook their other potential minor drawbacks.
I'd keep the little guy in the tank and see what he grows into. If he's trouble later on, there's always your sump (or my tank!). It's not as though urchins are exactly fast and hard to catch (although they can be a bit tough to pry loose).