2. Taking the risk of transmitting confidential information

A proprietary format encodes information which is not publicly visible. Only the producer of the format or the owner of the software which reads this format, which holds the key to totally decode the format, is able to access this information.
Often, at the moment of recording, the software adds some information to the file which is not accessible to the lay user, such as the user's name, the software's serial number, the type of operating system, the computer on which the user works, the folder in which the file is to be found, etc. Some of this information can sometimes be coded in a legible manner unbeknownst to the author and they can then be accessible to everyone: the anecdote of the anonymous political manifesto sent out in MSWord format with the name of the author clearly legible in the properties of the document is probably the most famous case of unexpected consequences of using proprietary formats as exchange formats.
There are more serious consequences than failing to protect personal data, such as transmitting military information or trade secrets. It is somewhat curious to learn that people accept without raising an eyebrow that the Ministry of Defense of a given country produces and shares documents with information accessible only to a private company in a foreign country.
Transmitting documents in a proprietary format means transmitting information nobody reallys knows about, other than the owner of the software that can read this format.