It can stain the plaster and reacts with chlorine in the pool (uses up chlorine faster and makes a black deposit). If it's not from the well water, then a galvanized pipe or part of a heater or pump is corroded. That can be expensive or dangerous if the part fails. It might be a good idea to check with your local pool supply company, or have a qualified pool service person check it out for you.
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if its only rust discoloring the water there is nothing to wory about. however you should keep an eye on the disinfectant levels of the water.