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I'm also assuming that most of what you see in the pet store has lived their whole lives in a glass box and has been living in a ready made sea water environment.
The only thing I would say when it comes to dealing with NSW, would be that as hobbyists , we should take the extra step of acclimating any new fish and corals to a NSW set up.
Assuming that we're not getting them directly from the ocean, I feel that ready made sea water may be too "pure"...
Check the venturi on the skimmer and make sure that it's all the way in place. It's possible that it may be loose and forcing air bubble out through the gap. Also whilst you are at it, make sure the venturi isn't cracked. The picture is just for reference
You really can't blame the Blenny though. if it was just tossed into the tank without researching to see if it was compatible with horses, then things like this are bound to happen.
Is the blenny actually attacking the seahorses? I've never known them to aggressive towards other fish.