Spider Webs on Live Rock

[Tigger]

In the last couple of weeks, I have notice that I have what looks like spider webs covering part of my live rock. It seems to be coming out of little yellow tubes (like mini feather duster tubes). Does anybody know what this is? Is this a good thing or a bad thing.

In addition, I have lost my cleaner shrimp. There is no trace of him, not even a small piece of him is around. I'm not sure what could have happened to him. He was a good size. Do you think a my convict blenny (I think this is the name for this fish. A long back snake like fish that makes tunnels in the ground.) would have eaten him?