That's… murky. I live in France, where your correspondence is supposed to stay secret. It obviously applies to personal snail mail, and arguably personal e-mail. It should apply to every personal IP packet (they're structurally closer to snail mail than an e-mail is), but I don't know if it does.
Work stuff… When you use the work computer to do stuff on behalf of your employer, it's not really private, and could arguably be monitored. (There are work regulations that limit how you can use that data however. Benchmarking for instance is forbidden in France.)
The problem is, since proxy servers cannot automatically distinguish work related activities from personal errands, they tend to cast a wide net. The implied distrust kinda disgusts me, but I reckon this puts big companies in a delicate situation: one does not simply trust thousands of people —too many single points of failure.
This might be true in the US but illegal in various other countries!