Looks like mushrooms. (a toothed veriety if i'm seeing that picture clearly) most likly came with the mulch. Mycelium can be bennificial to plants and soil. In natrure, it's all over the forest floor. I'm not sure if anyone would be able to tell you if it's harmful or not, 1 thing that could be harmful is the actual mushrooms when they start to break down and decay, depending on the mushroom it could make a real mess. You wouldn't want it touching any main stems in that event as it could cause unwanted growing conditions.
If you like it leave it, if you don't remove it. I'd personaly leave it but that's just me. Understand that by removing the mushrooms, the Mycelium will still be undground .