It's almost never done with the full understanding of the person providing the proxy, doesn't matter if they get promised some change, their browser addons betray them or they install bundleware/adware.
I'd say it has about the same moral standing as a payday loan.
The look of surprise on their faces is almost universal when the feds knock on the door with a search warrant in relation to something that came from their IP address.
I'd say it has about the same moral standing as a payday loan.