> Cocoon claims that the malware hits them (the proxy) and I don't get hit.
That is true, however their proxy cannot be perfect. It's as fallible as every other solution that scans for known attacks.
> They claim that they can take care of all the malware on their servers.
That's just dishonest. In spite of what their marketing is telling you, Cocoon hasn't innovated anything new. It is an anti-virus proxy server. These have been widely used for 10 years already, and we still have malware.
> They also claim that they're not recording any of your web surfing.
And that's all you have: Their claim. For all you know they record everything. By choosing to route all of your traffic through them, you are giving them the ability to do so at any time, without your knowledge or consent.