I've had live squid tentacles, albeit chopped up and no longer attached to the squid. They were still wiggly, it was an interesting experience, though the taste wasn't that great.
Do I think it's wrong? No. Most of the animals served this way are fish, other forms of sea animals, or insects, most of which lack the higher brain functions to feel suffering from such a predicament. It's no worse than boiling lobsters alive.