It depends on who is controlling the proxy server. If you are connecting at work you probably signed an agreement that says your employeer can monitor you. In general yes, if you are connected to a computer through another computer anyone in the middle can see what is happening. Only exception is for secure websites using SSL/TLS or comparable encryption on its data stream
Your proxy server is more like you mail man who passes your (mail) data to your desire destination. So, he decide what happens to your mail - in this case data.