ping = time for a packet to go from your computer, to the target computer then back to yours.
With the proxy, then it's from your computer in europe, to the proxy in the states, to your mates computer in europe, then back to the proxy in the states, then back to your computer in europe. So it's adding the ocean cable 4 times, which is why you see such a high ping.
I hosted a game with proxied players in Australia the other day and while I didn't notice the lag, I've since been told by two other players that it was pretty annoying. As a frequent host I probably still won't kick proxied players, but I can understand why people do. It'll become a moot point when localised proxies go up which I'm sure won't be too far off.