More direct concern: PII leaking from end-users will be a problem if the usage of this service isn't made clear and consented with from each individual. I really think the responsible thing by providers like OP is to remind their customers about this.

If you have end-users in for example EU then integrating a service like Helicone would usually require new informed consent to be legal.

We see a lot of applications on the market essentially "proxying" traffic to OpenAI, moving to a non-proxy implementation is not too hard if they have any issues with us doing this.