I think this question is rather irrelevant. What if someone ask, "Does Lama Tsongkapa really exist?", or "Does Tara really exist?" or, "Does Nechung really exist?" Is there any way to proof it?
We can say that Lama Tsongkapa existed because Gaden monastery was create by Him, and He has left many evidence like teachings, and many more who practices the teachings.
However, how do one proof Dorje Shugden or Nechung really exists? I am not trying to be b*tchy here, but other than what has been told by enlightened masters, how can we proof them? If one question the validity of Dorje Shugden, then shouldn't the same logic be applied to all?
From the enlightened master who has attainment, I choose to believe what they say, I think that's the best proof for now...