I wouldn't say there is zero proof. Clearly there is some proof that water exist on the moon and there is some proof that it does not. But how can you be certain either way?
http://www.space.com/scienceastronomy/060306_lunar_ice.html
Gonna quibble with that- there is no "proof" either way whether the moon has water but there is certainly some evidence pointing to it. That being said, the real question is obtaining water economically whether by importing it, producing it from native materials or capturing and redirecting the occasional passing comet.