Bro, i dont know if your Blenny's cave is near to the sps or not, but if it is very near to it, that could be the reason, this guy likes to have a clean surrounding where it lives, it will nip and clear algae + anything around him.
If you want it out, you can try to put empty coco worm tube (skeleton) into the tank, this guy likes to live in there, see it go in , quickly cover the entrance and he is at yr mercy....