The exit node could be the last known trace of illegal activity so someone could perhaps take a shot at you for aiding & abetting or similar. Right or wrong, can you afford that fight?

This is one of those cases where often the question is not whether your actions are legal, the question is whether you can afford the time and resource required, and in some cases take on the potential reputational risk, to successfully defend yourself against someone (commercial, law enforcement, political, ...) who says they aren't and tries to make you stop.