SocksDroid is a generic VPN application that connects to a SOCKS5 server specified by the user. It doesn't connect to any other service, in particular it doesn't collect any data for the SocksDroid developers.
As a VPN application SocksDroid forwards all or some of the device's network traffic to the server specified, so it is important that the user trusts this server. In particular if the server is maintained by a third-party VPN provider, this provider will be able to read or modify data transmitted from any application using non-encrypted protocols or block access to applications using encrypted protocols. This is not specific to SocksDroid, any VPN application has the same concerns.
SocksDroid is open source, which makes it easier to review its security by independent researchers.