Unless you actually have admin rights on the proxy system, which you don't, There is no way to know for absolutly sure What is being stored or collected on the proxy or even the dns servers you use for that matter. Cacheing servers actually store all types of data, but the only thing ive heard of being done with the info is using it to optimise the system. But hey I also bet somewhere out there is a sleaze bag that owns a public proxy that crawls the data for their own gain.