Fish oil may also contain heavy metals due to accumulation of those through food chain. Some companies claim to filter those, but with algae there is no such risk at all.
Even if the algae comes from sea water containing mercury the resulting oil should have a lower concentration of mercury than similar fish oil would have. Heavy metals accumulate up the food chain as larger predators eat smaller ones. Algae is about as low on the food chain as you can get for sealife that humans consume.
That is what we all hope, whenever we buy any kind of food, regardless if it is fish or algae.
But of course it is good to also verify whatever you can, because food standards may be too lax or not enforced well enough.
So I agree with the other poster that mentioned the risk of mercury content for fish products, which however exists for all marine products, including algae products, even if it is lower than for small fish and even lower than for large fish.
Nevertheless, I hope that any fish product or algae product that is sold would be sampled and analyzed from time to time to verify that it does not contain harmful substances.
These "algae" are cultivated in sea water. They might use synthetic sea water, but they might just take water from the sea, which contains mercury.
Some "algae" concentrate the mercury from sea water, others do not.
The only completely risk-free supplement would be if you could afford a chemical analysis for it.
As long as you do not analyze it and you do not inspect the production facilities, there is a non-zero risk of toxic substances included in your food.