I believe users can opt in to let proxy traffic through.

I use NordVPN (and their client software), and I don't see any such option. I'd be pretty furious if that were happening. I have not seen evidence of it... apart from some small requests to a few of their own weirdly-named domains (which I assume are to sync their proxy list), it doesn't look like there's any traffic going from my box to anything other than whichever of their servers I'm tunneling to.