Thomas,
The Squid servers hold cached copies of the data. Exactly whose jurisdiction things on the web fall under is very complicated and I've never understood it - it's possible Amsterdam or Korea could claim jurisdiction. Any Dutch or Korean lawyers on the list?
IANAL, but..
So do routers, switches, etc - the data is buffered and kept in memory for shorter or longer time on nearly every piece of internet infrastructure. Squids just speed up data delivery from data store somewhere else. The major issue in such case would be do we work on squid storages as standalone media systems (thats like, if you start filtering content - you're the one who is responsible for it in the end). Squids are 'data transfer' infrastructure, not 'data storage' infrastructure, and operating a squid is same as operating a browser (which also does caching), or operating network backbone.
BR,