Why does Kaspersky display a warning?

Kaspersky detects the general type of technology used by the Bright SDK to collect web data, which is called proxy. 

But they also say very clearly that this it is NOT a virus. You can see specifically that Kaspersky, in their knowledge base, writes “If a user has installed such a program on his/her computer, or if it was installed by a system administrator, then it does not pose any threat.”

Find more info on Kaspersky site