As you know, the key equation of risk neutral pricing is the following:

$\exp^{-rt} S_t = E_Q[\exp^{-rT} S_T | \mathcal{F}_t]$

That is, discounted prices are Q-martingales.

It makes real-sense for me from an economic point of view, but is there any "proof" of that?

I'm not sure my question make real sense, and an answer could be "there is no need to prove anything, we create the RN measure such that this property holds"...