Are they OK to allow to run?
Only if you really, really trust the publisher. ActiveX is a computer program and like any other computer program it can cause a lot of damage if you give it access to your computer and it turns out to be either malicious or badly written. I think you should be OK with SuperAntiSpyware: it’s a well trusted company.
Once done, do they leave any files on the pc or do they uninstall again?
As far as I know, ActiveX objects are installed in the registry by means of a unique identifying number, and reside in ‘Downloaded Program Files’ which you can clean up if you open My Computer, right click on properties and click the disk cleanup button.
ActiveX objects in the registry can be removed with HijackThis!, where they turn up as 016 entries.
http://www.geocities.com/dontsurfinthenude/activex.htm