Yes, the burning bush shrub (Euonymus alatus) is considered invasive in Maryland (and many other places) and deserves concern. It is not native to the U.S. and produces tons of berries. Most will fall nearby and a huge number will sprout and you will have to remove them.That is a nuisance. (Even when one of these plants is removed, the berries in the soil keep germinating for years and years.) But the real danger is when birds (most commonly) spread the berries into natural areas or parks where they do the same thing and there is nothing to stop them. Then they start crowding out the native plants that should be there and is needed by all our native wildlife.
A lot of invasive plants get spread just like this burning bush sapling, because they produce so many! It's good to be cautious about free plants.