No bad effect will be there. Sea cucumber will get nuitritional Nannochloropsis as a feed. Nannochloropsis is one of best feed on fish and brawn industry as far as i know. So dont worry.
Nannochloropsis is one of the microalga added in the phytoplankton mixture used for feedin the Larval stages of Seacucumber. Other algae used are species of Chaetoceros , Isochrysis, Phaeodactylum etc.
The paper given below may be of some use to you.
Lillie R. Cavonius, Eva Albers, Ingrid Undeland,pH-shift processing of Nannochloropsis oculata microalgal biomass to obtain a protein-enriched food or feed ingredient,Algal Research 11 (2015) 95–102.
Nanochloropsis oculata can be fed to sea cucumber larvae., but its effect on growth and survival will be varying. Each algae has its own effect. You can also compare the effect. Herewith enclosing one of my paper for your reference.
Asha, P.S and P.Muthiah 2006 Effect of single and combined microalgae on the larval growth, survival and development of the commercial sea cucumber Holothuria spinifera. Theel. Aquaculture Research, 37: 113-118.