I was wary of it too; I installed it on a spare laptop I had laying around first.
Free UK proxy or -VPN is difficult enough to find; a permanent solution certainly calls for skepticism. Hotspot Shield does serve an ad at the top of every page that's loaded, but the remaining bandwidth is sufficient to stream 832x468 H.264 video at 25 frames per second (combined bitrate of over 1500Kbps with muxed audio stream).
Although it doesn't obscure delivered content, the advertisement can be distracting; the user is provided the option of closing the ad box--after it has fully loaded. My bandwidth has been gratifyingly consistent, and I have yet to "monetize" ... but now that I've seen the TOS, I'll probably toss them the occasional click-thru -- a fair price for peace of mind.
In my experience, any latent invasiveness resides in the installer -- as with all installers sponsored by Bing Toolbar, it is aggressive.