It really depends on the genus and about 600 species of Pycnogonida . Some species feed on nudibranches, polychaetes, hydroids and small invertibrates, some feed on stony corals, others are strictly scavengers and others are parasitic, feeding on the internal fluids of sea anemones. When satiated they simply drop off, rarely is the anemone harmed by this unless the sea spider is larger than the anemone.
Regards,
David Mohr