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None, but if cops think that you are liable you will be persecuted. There were instances when having a contract with a lawyer would be interpreted as if you were intending to break the law [0]. So you can imagine how little evidence will be required.

[0] https://news.tut.by/society/700543.html

depends on many factors, e.g. which country you live in whether there are extradition agreements with the foreign country, whether you are a native of the country you live in, whether there are exclusions of certain acts in your country etc.

Not "shitting where you eat" (never do something that is a crime in your own country) is basic opsec but the details are usually a lot more complex.

In a dictatorship, it doesn't matter so much if you use it in a legal way or not -- what matters, is instead if the dictator does not like it (or if he likes it).

If you use such a proxy in a completely legal way, but that the dictator thinks might make him lose his power, then he can make up fake charges against you and put you in prison.