Those are amphipods, not copepods. If there's no fish to eat them, they can multiply out of control and annoy corals, and they'll eat corals that are already sick and stressed. Good fish food, though, and detritivores.
Bristleworms are beneficial detritivores. They won't overpopulate unless you way overfeed. The bristles are unpleasant, but you shouldn't be grabbing your rockwork with your bare hands anyway, sharp edges with bacteria on them are a way bigger concern than bristleworms.
In short, no pests, just critters.