Proteus is one shifty guy. And that's not just because he isn't trustworthy; it's also because he's literally a shape-shifter. So it kind of works that his magical ability to transform into anything mirrors his personal inability to be one thing all the time.
Take Florimell for instance. The poor girl is stuck on a boat in the middle of the ocean with an evil old man and in comes Proteus who saves her and saves the day. So we think: Go, Proteus! But then, he takes her back to his oceanic cave and ends up imprisoning her because she doesn't fall in love with him. So now we think: Boo, Proteus. Proteus is just not a character who can be defined by being good or evil. Instead, he's defined by the way he shifts between the two.