I remember enough of my high-school lessons to wonder what happens to the C in "CO2" if you convert it into "O2"...
Assuming that's right, then like any other plant-based carbon absorption method, it matters what happens later, whether the carbon is released back into the atmosphere in some form during decomposition, or if it's buried, or whatever else.
The issue with gas/oil/petrol is that the "cycle" is pull from ground and pump into air without a way to pull it back from the air.
So yes, this puts CO2 back into the air... after pulling it out of the air. So how is it not a step forward?
Don't give up good in the pursuit of perfect.
If we get a few of these types of solutions - IE Growing algea to pull it from the air and burning it to get electricity and "putting it back"? If scaled? that can be the path forward - especially if we're getting electricity on both sides of the fence.
The path forward is to invent and scale and tweak and improve lots of different things.
Drax in the UK [1] is a quite good case study for this (assuming they get it all up and running), though they're not using algae. Right now they grow trees, and burn those in pellet form. It's currently considered sustainable as it's not adding new carbon to the above-ground system (whereas coal/gas/oil is adding to the above-ground carbon). Their next phase is to attempt to capture the post-combustion emissions from their chimney stacks, at which point they have a non-biodegradable mass of carbon to bury somewhere.
[1] https://www.drax.com/sustainability/sustainable-bioenergy/