They will actually catch any stray living critters and pull them out of your water column for you. Think of them as fresh water anemones. I have heard they can be tricky to keep alive if you aren't specifically trying to culture them, though. Harmless to anything big enough to pull out of their grasp.
Google found this -
http://www.teamliquid.net/blogs/viewblog.php?topic_id=62231
I'm still reading it...
Decent firsthand info from a collector. Video at end of page shows a daphnia become lunch.