What sort of algae is it? If it's the real nasty stuff, e.g. BBA, maybe take it back to the shop and ask for another plant?
Apart from good, healthy growing plants, part of the algae beating strategy is keeping the algae spores floating about in the tank down to a minimum (which is another reason why good frequent water changes help keep the tank in good shape).
I would say that, if your tank is indeed running correctly, chances are the algae will probably hold on for a bit and then eventually die off. But why risk it? Better to either toss the plant completely/take it back to the shop and get another one (if it's heavily infected) or prune off the worse parts.
I really asked as I buy my plants from a fish market, and I have started to notice that the plants I buy which are 20% to 40% cheaper then normal are snail and algae infected/infested.
Sometime it does not pay to be cheap.
Really this situation is just what a good Potassium Permanganate dip is for. You have an unknown potential for contamination on otherwise desirable stock. Just give 'em a good PP bath and no more worries.
I would not put anything in a display tank or any tank I cared about that had not been quarantined, sanitized or sterilized. :gw
Living things do not do well with sterilization so with living things it is sanitize, quarantine or both.
Potassium permanganate is my favorite dip for critters and plants.
For a dip, I use the “pinch-in-a-pint” rule, about ½ teaspoon per gallon of distilled water (~1.3g per liter) dip the plant for 15 minutes. Rinse the plants immediately in clean water with five times your standard de-chlorinator. For less sensitive, heavy vascular plants, you can easily double the concentration.
In real life, most of us add enough PP to turn the water a dark pink.
Cover the PP solution and continue to use until it starts to turn yellow or muddy looking. The solution is a great for dipping your nets and things you use in the tank.
If you do not have PP a dip made up of 1 part 5% household chlorine bleach to 19 or 20 parts water will work. 15 minutes then rinse in water with five times the standard de-chlorinator, sensitive plants less time and more dilute solution. Discard solution after use.
Actually, by varying the strength of solution and/or period of dip just about any critter can be dipped. I use PP prior to quarantine for most wild caught critters. In addition, those injured in shipment or the conditions are poor, perhaps due to some delay. I am more likely to use hydrogen peroxide on my finned fish these days, particularly in my tasty fish (aquaculture) endeavors.
Relatively strong PP solutions can be swabbed on to injuries, infections or infestations. The thing to remember about PP is that the difference between therapeutic and toxic levels is tight.