There seems to be plenty of literature on effective means of treating for external parasites, but very little in regards to the actual immune response to them. The primary reason stems for that is due to the demands of aquaculture, where crowded and sometimes compromised environmental conditions mandate a medical response to parasite control. Our reef tanks (hopefully) aren’t really comparable to aquaculture and even aquarium fish wholesale operations.
Fish have several mechanisms for dealing with protozoan infestation, but I’m having trouble finding exactly how this works with external protozoans. My understanding of Cryptocaryon is that the primary cause of mortality is infestation of the gill epithelium, making gas and salt exchange difficult. However, due to the thin epithelium and high vascularization of the gills, there appears to be the best opportunity for the immune response to be employed in that area.
Fish have a number of different mechanisms for dealing with protozoan parasites. Most are internal (antibodies, macrophages), but the immune response will also block attachment to host cells and, if the antibodies can access certain regions of the parasite cell, can mess up its functions.
Long winded way of saying, it’s a little more detailed than just ‘trust it’