Not when a US site uses a "copy protection" mechanism to ban all EU users, and grants a copyright license giving full access to US users and no access to EU use

Not when a US site uses a "copy protection" mechanism to ban all EU users, and grants a copyright license giving full access to US users and no access to EU users. Then your EU-based choice to use a proxy becomes a copy protection circumvention under the ECD, and the user is subject to a lawsuit.