Native fish from the wild are just as clean as LFS purchases provided the water they were taken from is decent. Some lowland areas can have above average loads of parasites but I've had more problems from LFS purchases than from wild caught natives.
All that being said I agree that quarantine is important for any/all fish.
About the bluegill....They can be pretty nippy, get rather large (and require a larger tank for this reason) and are just about the least colorful of all the native sunfishes.
I'd hold out for another more colorful and or smaller sunfish to add to your tank if possible.