Maybe the anonymous proxy sites have malicious files/scripts/ads on their homepages, maybe they inject advertisements when you visit sites, could be a lot of things, really.
Proxies like that are generally used for malicious activities, at least in my opinion. Kids use them at schools to get around their school's web filters. Office workers use them to get to social networking, porn, p2p sites, etc. I wouldn't be surprised that WOT would flag some of these as blacklisted, just because of what they're used for.