As a System and Network Administrator who deals with proxies, daily, I can tell you this:
- They're poorly written.
- They abuse the CPU.
- They abuse the network.
This may not sound like much, but once they get popular, they're nearly impossible to deal with on a shared system. Here's why as simply as possible:
You have, say, 100 'slots' open for browsers.
A proxy request for a page loads it in, rewrites it to use the proxy, and every picture, css, et al, file is then sucked through the proxy, and rewritten as necessary.
The front page to MySpace has about 20 elements. That means one hit for MySpace takes up 20% of all available slots. Now, it slows down the system and other people need to wait to use the server.
Now take that, and multiply that by about 50 concurrent users, at least.
For an account paying $2 to $10 a month. Heck, many are up for a full month on the $1 introductory price, 'forget' to pay the next month, and are then on to their new host.
This does not even take into account the cost of the bandwidth involved.
Granted, if you were NOT actually running the proxy, a bot may have found it; there's a reason they noticed it, and it's not because they have time to look for 'proxy' on every server. They only did that to ensure that their system was accessible by other people who were paying what you were, and were not overtly, or directly abusing the system.