How can they not be native to the setting (which is what Dune is)? If you mean the planet, which is called Arrakis, I'm pretty sure they are are native. Sand worms are the source of the spice afterall.
No it's true they're not native to Arrakis. The books mention it was a watery world, to which the sandtrout (a phase in the life of sandworms) were introduced. They link to create giant cysterns that cordon off water, which then participates in the creation of spice.
Arrakis had water until some cataclysm fifty million years prior to the books caused a global desertification. The sand trout were one of the few, if not only indigenous species capable of adapting to the new climate. The rest moved to Tatooine.
It is true (can't remember what book states it) but the sandworms did not originate from Arrakis but once they were "immigrated" there I suppose that one could argue they began some kind of symbiotic relationship with the planet that enabled them to produce the spice melange.
The reason Dune is perpetually a desert world is primarily because of the worms. Them moving around all the time and being so huge means that the sand can never stratify into separate landmasses. Plus they cordon off the water so no oceans. Frank Herbert did his homework on how a desert world can come to be.
In the "true" Dune novels, there is NO evidence to support the idea that the Sand worms were imported from another world. They are as far as anyone can tell native to Arrakis. The published "fanfic" prequels may have other ideas, but they do not count.
There were no actual sand worms in Dune. What the characters think they see is a hallucinatory effect of ingesting the spice melange. I thought that was pretty obvious from reading the book.
I know you're joking, MeanJoePhaser, but I'd like to hear how people traveled great distances, got eaten, or lost their mobile spice harvesters on Arrakis if not for the sandworms.
This is what happens to Earth when we fail to stop the creatures in the Tremors Movies and Tv series......