If I'm remembering correctly there are over 100 species in Asterina, and only a couple that rarely end up in our systems are predatory, I've never had one bother a piece of coral, as most are harmless. So it's up to you whether you want to remove it or not, just watch it and see what it does.
I wouldn't automatically call an asterina parasitic either. +1 to what AcroNem stated. I usually remove them because they put white dots on my coralline.
Some have issues with them eating coral and some don't. Like others have stated there are quite a few different species. Me personally I have seen them munching on my Duncan and zoas. So I try to remove them as I see them. Ultimately it's up to you.