Not if the proxy checks the certificate of the site it's connecting to and doesn't trust it's own self-signed cert (there is no point in doing so if it's pure adware). But yeah... I have no idea what it does...
Now Lenovo is "soon" going to explain how to remove this certificate after the "uninstall" in a buried forum post...
http://forums.lenovo.com/t5/Lenovo-P-Y-and-Z-series/Removal-...
http://www.komodia.com/wiki/index.php?title=SSL_Digestor#Cer...
"Also the module tries to verify that the certificate is indeed signed by an approved signer, it will use the CA store of the browser used to verify that (for Internet Explorer the Windows store will be used, and for Firefox the NSS store will be used), if the certificate isn't legit, the created certificate will be created in a way it would raise an alert to protect the user."
A huge ugly hack...