Are bag worms pests?

Yes they are as they bore into and eat the inside of trees and kill them.

The bagworm is a perennial insect pest of arborvitae, juniper, pine, spruce, and many other evergreen species. It also attacks certain deciduous trees such as black locust, honeylocust, and sycamore. The bagworm is most common in southern regions of Pennsylvania. Infestations have recently been noticed north of Interstate 80 in the state. The spread of the bagworm is slow since adult females are unable to fly. Their dispersal over wide areas occurs mainly through movement of infested nursery stock and ornamental plants, or by ballooning (wind dispersal) of small bagworm larvae during early June.