What about when the police show up because some highly illegal content was traced to your IP address? Will they believe that you were the unwitting victim of a rogue proxy server running on your streaming stick? Would you have even been aware of that possibility?
There's also always the flip side: When the police shows up because of your illegal acitivities, you have a rogue proxy server running. All bought in good faith of course.
Not legal advice.
(It would surprise me greatly if we as a society let these gadgets be sold openly from here on.)