Hotspot shield being annoying, the reason is very simple its free-trial. You always have the option of buying it to make it pleasant to use with more functionality/features/no annoying problems. after all, they spent money and time to make the software and related server with which you connect and by-pass restrictions.
As far as I remember, TOR used to be non-profit software written by knowledgeable internet users and run by volunteer common internet users who run their PCs 24hrs as servers using their bandwidths and TOR to facilitate others who need em. That's why they didn't allow torrents or such downloading which consumes too much bandwidth or resources. At least it was like when I tried TOR 4 or 5 years ago. I can't really say much the current situation of the TOR project. Unless they start charging for it, the situation should be the same with the exception of increased bandwidth consumption and possible torrents allowance.
Regarding the level of restrictions, the functionality of any VPN/proxy softwares (specially paid ones) varies and eventually, the ISPs always have the upper hand since they are in control of the pipes. In a simple words, the 'chowkidar' as shiekh_chillie put it, always has the danda. if he doesn't, whats the point of him being a chowkidar right?
But there many good solutions depending on the levels of restrictions and what your pocket allows cause buying your copy will rid you of other problems such as, lags, restricted bandwidths etc which are there for the sole purpose of you buying it after using the free version.
Personally I don't use any proxy/VPS software. Cause my internet foot prints are mostly based on torrents and those too, from private trackers. I download things I want to see, hear or install... and WP, google & comapny, skype and some other common sites are still not restricted yet ... so
But if the sh!t really started to hit the fence, I am sure I will find a way depending on the situation and share with you guys too...