If I'm using one of these services while connected to a guest wifi network, with the usual configuration for guest access (like no intranet connections), is that guest wifi network compromised? What's the threat model?
> is that guest wifi network compromised?
I'd say yes since you've allowed random people unauthorized use of the connection. It makes no difference if it's your connection or not. For example, if that proxy gets used as part of a DDoS attack, your device compromised that network.
If that guest WiFi network is running inside the White House? Yes, I'd say that is compromised. The threat model being that guests on that network may be diplomatic officials and staff.