This is a grey area. The act of using a proxy list is legal in most countries (USA, EU, Canada). However, what you download matters:
But in an era of advanced rotating residential proxies and AI-powered anti-detect browsers, does a static tool like Downloader2 and its associated lists still hold up? Here is my hands-on review. jexclusive downloader2 proxy list
Here is a review of using within JDownloader 2 , covering the setup, performance, and pros/cons. This is a grey area