Any voice or data traffic that is transmitted by any of the major backbones can be transparently monitored, and recorded. Proxies only fool those who don't run the backbones of the Internet, as you can not directly connect to a proxy. You must hop(numerous times) to a proxy, all of these hops could be monitoring your traffic for any purpose.
Deep packet analysis can link data between separate IPs effortlessly. This is a huge area of interest for most governments of the world. How do you think they find the people who write malware/trojans/etc so easily? One way is that 'they' look at traffic records, and put them under heavy (often by humans) analysis.
Example(Windows) Windows Key+R(run dialog) also Start Menu | Run...
Type in: cmd
Press enter/click OK.
Type in: tracert rollitup.org
Press enter.
Try it with your proxy server address, see how many routers are redirecting your traffic before you even reach the proxy. Each is a dead give away of where you're headed, and will also likely be redirecting anything back to you.
It takes me 20 hops to reach this site. The first is my router, the last is this server. That's 18 intermittent points where security could be breached. And there's no way to detect it. It's completely transparent. 6 seem to be related to my ISP. 10 are *.atlas.cogentco.com, Cogent Co is a multinational data-only backbone, and is one of the World's largest carriers of Internet traffic. And 2 are related to this server's NX records.