Yes, it almost has no side effects and the safety has been approved by the U.S. Food and Drug Administration (FDA) and European Food Safety Authority (EFSA), as well as the Joint FAO/WHO Expert Committee on Food Additives (JECFA).

FDA

It is GENERALLY RECOGNIZED AS SAFE (GRAS) and can be used as an emulsifier or emulsifier salt, flavor enhancer, processing aid, stabilizer or thickener, surface-finishing agent and texturizer in food. (7)

The following food may have it and with the approved maximum use levels (8):

Baked goods and baking mixes: 0.8%
Confections and frostings: 2.0%
Soft candy: 1.2%
All other food categories: 0.25%
EFSA
Agar Agar (E 406) is authorised as a food additive in the European Union (EU) in accordance with Annex II and Annex III to Regulation (EC) No 1333/2008 on food additives and categorized as “additives other than colours and sweeteners” (9)

http://www.chinafooding.com/Agar_Agar