There's a saying: "There's no such thing as free lunch." You may not have paid for it, but somebody did. The same applies to any "free" service. There is always a cost for providing a service, whether it be salaries of the staff or server/operation costs, somebody somewhere is paying.
Facebook doesn't charge it's users, but it sells their data to cover the costs of providing the service. This or similar model is used to cover the cost of most free services.
Why should you be concerned about using a free VPN or Proxy? The servers and bandwidth required to provide the service costs money. If the company is not charging it's users, then they may be selling their data.
If you are concerned about privacy, you should pick a VPN with a good reputation and privacy policy.