Yes, using a proxy server is completely legal. Proxies can be used for various purposes, such as scraping, ad verification, SEO, social accounts management, bots automation, and more.
Of course, some proxy use cases might be illegal, like anything related to financial institutions, governmental sites, ticketing, gaming, mailing, streaming, or Apple/Google stores. As an A-list player, we usually block such use cases to avoid fraudulent activities.