ve3jlg Yes, you have to trust the proxy just like you have to trust the VPN provider (e.g not logging your data, not selling your data, not accidentally leaking your logs etc).
The benefit to Piped and Invidious is that they are free and open source. So if there are any shenanigans going on it will likely be reported by those inspecting the code. Does it make it perfect? No, unfortunately nothing is but the open model along with adequate maintenance / bug fixes by the developers can be preferential to something closed source where you don't know 100% what the developer is doing with it or how it's being maintained. With VPN's, many are not open source.