Wow that sucks. It's not just HTML Cleaners though. A few years ago (before snowden) I analyzed free proxy servers and found that most of them blocked https and many even injected JS or HTML into all requests [1].

I also wrote a tutorial on how you can build an infecting proxy too [2]. Doesn't work anymore though since HTTPS is everywhere. Thank god

[1] https://blog.haschek.at/2015-analyzing-443-free-proxies [2] https://blog.haschek.at/2013/05/why-free-proxies-are-free-js...