My understanding is that these apps' TOS explains that by using the app you consent to having third party traffic routed through your device. For example [1] the Hola VPN's free users agree to let third party traffic get routed through their networks. Now, how closely users actually read the TOS is a different story, but it's arguably not malware on the grounds that users are, at least on paper, informed and agree to this behavior.
1. https://en.wikipedia.org/wiki/Hola_(VPN)