Check out this post from Wikipedia. I was doing some research on proxies, and found this excerpt.
As certain governments are particular about the kinds of sites its citizens visit (Example: Great Firewall of China), they often employ trackers who scan IPs tapping into proxy sources, and any that show up in the scan are flagged for a live reviewer to see what the proxy user sees, so depending on what sites they visit, they could get visited by their local law enforcement agency for investigation.
The last part it blue is highly unlikely in China, unless you're a protesting hippie, but the first two in yellow are very possible. For anonymous surfers in China, it's important to get a secure proxy you can trust, or a VPN.
Check out China's Top 5 VPNs HERE
A review of SecuiTales, the most secure proxy in China HERE