IMO, They are not bad, but If they dig tunnels under rocks and the rocks fall that is bad. They are best in a tank where things are very stable. Set up the rock on the glass bottom and then add sand around them. That way the Goby can dig around the rock, but not under it causing it to fall.
I have Sleeper Goby that digs in the sand and unfortunately my rock was not set up as I explained above. I have not had any problems yet but I'm just waiting. I got him because I felt that top layer of my sand was getting very ugly. He keeps it stirred up and looking better. He also keeps making hills everywhere and dropping pieces of substrate on my corals, so there is a downside. He's also quite fun to watch.