Sponges are a filter feeder, so it just means there is plenty of filter feeder food in your water - which does not mean your water is "dirty" in the sense of being over-fed or something, but rather that there are lots of small things for them to eat and sufficient other nutrients for them to absorb on the side (sort of like you need for some corals, just with more need of particulates). Those conditions are often not possible in heavily-skimmed tanks, but those tanks wouldn't support other ornamental filter feeding animals either due to the water being "too clean." If the sponges are growing somewhere where they can't clog something up, then they are just feeding on your water and are harmless - even beneficial really. The problems happen when things like pineapple sponges (one of the hardier types) start growing inside drain or return tubes and restricting flow. I've never had that problem with sponges and have tons of them in my various tanks, but I've read/heard of others getting a sponge "infestation" in filter tubes, so it's something to be aware of even though it seems quite rare. I would leave the sponges where they are unless they are causing an obvious problem or are on some sort of media that needs to be replaced periodically.