The fact is that we do not know what kind of server provides us with lists of free proxies. Logging and then analyzing our requests on these servers is quite possible.
To be sure, that using, for instance, Canadian proxy is safe you should have a paid proxy server.
But if it comes to free proxies, you should use them a certain way to make personal data secure.
According to this, it follows that you should not transfer your logins and passwords while using free proxies. It means, that if the proxy is enabled, you must not log into your accounts in social networks, emails, payment systems (!), and other sites where you have accounts.
And in case of using Google Chrome, you should use a proxy only through anonymous mode. Because in normal mode, you probably have various plugins installed, such as checking your mail, etc. For example, the same plugin for checking mail occasionally verifies if there are any new messages and sends a request with the identifier of the current session for this (this is certainly not a username or password, but also pretty dangerous).
Therefore, it is much better to allow using the proxy plugin in anonymous mode and enable the proxy itself only in incognito mode. After that, immediately before using, it is advisable to make sure that it is displaying the IP you need. You can check it on the resources specially created for this on the Internet, or just apply Fineproxy.org.