Many people incorrectly think of proxies and VPNs (especially VPNs) as a security and privacy enhancement, but unless you're operating the proxy/VPN server yourself they're just as likely to be a massive security and privacy risk. The problem is that they concentrate all of the traffic you'd most like to keep secret in one server, and depending on exactly how the system works, may require installing software on your local machine with ~root permissions. If the operator is malicious, this is a really dangerous combination.
These are useful tools for location shifting and -- in fairly rare cases, and with VPNs only -- from hiding traffic from malicious. But third-party proxy/VPN services should always be viewed with suspicion. Obviously this is even more true when the provider is Russian... though it's pretty likely that wasn't made clear to the people who used the service.