effects on end users bypass internet filters

I am trying to find out the Cons of end users using such web sites as https://vtunnel.com to bypass internet filters. Is the data they type in the hosts web site captured? DOes this make them vunerable to comprimising their personal information such as account names and SSN #’s?
Does it do anything to the Connection like hog bandwith? Or anything else it might cuase I would be intrested to know.

Thanks,

HC