Disadvantages of using a proxy IMHO:

A] If you use a firewall to block IPs, those IPs will not be blocked when using proxy.

B] If you use a packet sniffer to monitor packet traffic of your PC, proxy makes this task more difficult since all traffic flows through proxy IP.

C] Proxy can log all your surfing IPs.

D] Proxy can read your traffic unless, maybe, you have a SSL tunneling connection (https} or are using other encryption.

E] Proxies can be operated by government spy agencies.

Who do you trust?