I'm not: I'm all for government health care, government supported time off work for sickness or children, and other such things. These push up government spending, but yet can mean freedom from financial burden. When I consider what I paid for health care in the US, the tax rate isn't a big deal at all. For my personal economy, i'm actually more free because I don't have to plan for being sick and going broke from it - I gained some economic stability.
Also interesting is the "labor freedom" metric - basically, laws making it more difficult to fire folks and things of that nature. While there are occasionally downsides to this, it also means there is a sense of job security. If your personal beliefs are such that this is a hinderance, it might be a bad thing, but I suspect most folks would find this to mean more actual economic freedom because there aren't so many surprises to plan for.
Take a look for yourself and see if their rankings make sense.
[1]: http://www.heritage.org/index/