Yes they are stupid. As are 99% of the other things we like to keep in our aquariums.
If you have a refugium it would probably be best to place it down there. These sea slugs are pretty much useless for nuisance algae control in a display tank anyways.
The Sea Slug forum had this to say about their feeding preferences.
"In choice experiments they found that E. crispata would eat a number of species of siphonaceous green algae including Batophora oerstedi, Bryopsis plumosa, Halimeda spp, Penicillus spp, Caulerpa paspaloides and Caulerpa racemosa.
Jensen & Clark (1983) later showed that another species of Caulerpa, C. verticillata (a very finely branched species, which looks a bit like a tiny Christmas tree), is the preferred food of the juveniles of this species."
http://www.seaslugforum.net/message/3863