From time to time, I see proper classes being endowed with algebraic structure. The ordinals with addition is one example, but I've seen a lot more, most of which have been above my head. The standard definitions of standard algebraic structures impose the requirement that the underlying class be a set though. I'm not exactly sure I know why that is. What kind of problems does removing this requirement cause? How much of algebra over sets carries over to algebra over classes?
I'm asking this because I don't know anything about proper classes other than what the first introductory course in foundations told me, plus some other bits. This makes me uneasy whenever I see or hear someone do anything with proper classes. I'm often left unconvinced about the rigor of such considerations because of this uneasiness.