From what I understand, a cascading proxy acts as a middle man between the real proxy server and your computer.
In layman terms, your computer 'gets' its internet from the proxy server. You can now install a piece of software that lets your own computer act like a proxy server. Other computers (or your own computer) can now use this new proxy server created by software such as CCProxy to get access to the internet.
However, your computer isn't connected to the internet in the first place! That's where the cascading comes into place. CCProxy 'gets' its internet from the original proxy, while other systems who are using your proxy server get their internet from CCProxy.
As for why CCProxy is flagged as unsafe by Kaspersky, I am not sure of that