Can't see it causing problems using a proxy, you only use it to sign up, you can access the web app without the proxy. You do need to either use market enabler or download the apk to get the app on an android phone but neither is too challenging, lacks updates though.
Also not sure if even using the proxy allows you to purchase music as yet, which is irritating
I do like the service though, upload takes a long time, and would like to be able to buy songs (which you can then download, but not sure on drm or anything), but overall I like it and use it pretty much every day either on my work PC, or on my phone in the car, or at home.
With the phone it's especially nice as I've set a single playlist to be 'avaiable offline', I can then modify that playlist wherever and the changes are updated on the phone so very little manual usage required just open the app and press play 99% of the time