Does a proxy make data vulnerable ?

If your internet connection is going through a proxy, does that mean that the proxy administrator can monitor your data ie emails, passwords, sites visited etc ?
I have a UK proxy account set up by a private(ish) person for the purpose of getting access to UK content while I'm out of the country, but I'm afraid of my data being intercepted.

Yes, if you're not using some sort of end to end encryption like https.

Yes your are vulnerable, any proxy you are moving traffic through can be intercepted by the the owner of the proxy.

Even with SSL, the administrator can use SSLstrip to man in the middle the secure connection. You will get an error about the authenticity of the website's certificate you are connecting to, but most people would confirm the security exception regardless.

Perhaps you could setup a proxy on a VPS for yourself,