They are one of the "rental" item for the tank, unfortunately. The coral need special care to do well, for example. I think the crab does need to change shell when it outgrow it.
I have not heard they need to change 'shells' unless the host coral dies, but I have heard they can utilize snail shells?
If I did not have bryozoans growing on my live rock I probably would not have purchased this guy. It seems my aquarium is able to sustain at least a small population of similar coral, so I figured I would give him a shot. Its not something my lfs regularly brings in, and I certianly hope they don't decide to. But for now he is mine, and the coral seems to be surviving, so I will not complain. He sure is neato.