I installed Squid, and in this server guide, there are some security configurations. Is there any risks when using a proxy server? What are Squid security threats?
The biggest risk with a proxy server is creating an open proxy - a proxy that anyone on the internet can use to reach any server on the internet.
Open proxies can be used and abused to get around censorship but also to conduct illegal activities, spread web spam, attack other servers, and other unwanted things.
You need to ensure that either the source or the destination is authenticated or restricted by IP address. If it's a forward proxy, then it should only be possible for the authorised person to use it - not any arbitrary user out on the internet. If it's a reverse proxy, it should only be usable for contacting the one particular website it's designed to proxy for - not any arbitrary site.
The above is in addition to the usual security considerations that apply to any software.