no, you are right. it's a false thought of security.
1) you never know if the persons who run such things sniff your traffic/what's there reason/motivation to run such things
2) you never know if and how long they log - if they log less long than your isp or don't log it's an advantage (but if they log only 3 days while your isp logs 80 days and the feds request the logs after one day your advantage is of course gone...) for you, but like already said, you don't know...
alternatives are paid anonymity services and projects like JAP (you should get some more info about it first, one or two of mixes in the past were forced to install software which logs requests two special adresses, however there are more than two mixes

).
JAP mixes are constantly checked by independent organizations for there anonymity.
hmm i see my post is a little bit to general because you are asking about the law, well i doubt there's a law supporting illegal activities

further, even if there would be one, what would you do, when the feds sit in you neck and you are innocent, only running a proxy and your proxy has logs?
further, when you do illegal things you are also handling against the law, so you shouldn't expect other people go 100% after it...
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im really missing the possibility to delete my own posts if they aren't really correct