I can't quote an appropriate textbook reference from memory, but i seem to recall that they can sometimes be a vector for some plant diseases with some plant species... whether this is relevant to peppers in your area is unknown to me. They can be easily dislodged by a fairly gentle spray of water -- it doesn't need to be a strong enough stream to hurt foliage. If knocked clean off the plant, they have a poor chance of re-accquiring your plant as a host: they're not very mobile. It's the juvenile phase of a small bug we used to call "frog-hoppers" when i was a boy.
They're sap-suckers, like aphids, but usually of much less concern to most gardeners. The sudsy goop around them deters would-be predators, and is derived from soapy chemicals found in plant sap called saponins.
I'm under the impression that they are normally of no more concern than a mosquito bite on a human. They did hurt some Stevia plants of mine once, but that was a heavy infestation.