It depends on a couple of things in my opinion. First, how long have they had the rock in their holding tanks? If it has been at least a week or 2 then it is cured or mostly cured and you can add it directly to your tank after rinsing with saltwater. Of course, watch your chemistry. If they just got it you can bring it home and put it in a container with a pump and cure it yourself for a bit then add it. If it is just a small amount of rock going into a stable tank some people will just add it either way.
A vast majority of live rock is shipped by boat these days in a damp state so most potential pests will be dead and not a worry. But then most everything else growing on the rock is dead also besides a little coralline and bacteria. The dead stuff can be cleaned off or allowed to rot off aka curing the rock. You can also use dry rock if you find some you like and it will become live quickly in an established tank and usually cost less. Opinions on the "right and proper" way abound. I haven't ever had any real issues with any of the above methods and consider the risks low unless you add a large amount of just shipped uncured rock at once.
