Yes, as a programmer you could try and write an app to bypass Apple's security and run amok in the filesystem, but do you honestly think Apple doesn't check for such things? I'm sure the kid who wrote the socks proxy had the code obscured somehow, and Apple will toughen their review process each time such an app is found, why it takes 1-2 weeks to get an app approved now.
Also, if you knew anything about iOS programming you'd know Apple restricts just what APIs your applications can use and is very strict about rejecting apps that use unsupported APIs, directly or through a 3rd party library. So to write an app that is just going to go wandering through the chroot'ed filesystem isn't going to be easy, and getting root level access is going to be near impossible. At least for apps in the App Store. Cydia apps are wild game but anyone jailbreaking their iPhone should already know that (and they have had a few rogue apps and have been very good about pulling them, they don't want their reputation tarnished either).
With Android's ability to freely install any app from any source, something like this is more likely to happen. I'm not saying it's impossible on iOS, but it is far more unlikely, and the damage an app can cause is hopefully a lot smaller due to Apple's restrictions.
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