This reeks of bullcrap to me. Surely you would know if your connection is used as a proxy. Try Hola for example and even if you don’t dig around in analyzing packets or shady processes you should notice it. If you want a more solid opinion you could check comparitech_aaron’s response here: https://www.reddit.com/r/nordvpn/comments/9bbbvi/we_need_ind...
I'm disgusted! stay away from free apps, software, etc.! It collects loads of private information, sells for advertisers and MORE it is a target for hackers.