Yes, you're right. As we've pointed out many times, theories aren't literally "proven," but if they're accepted by scientists as useful models, they must explain the existing evidence, and they must survive experimental efforts to dis-prove them. You might think of the burden more accurately as the burden of coming forward with the evidence to support the theory, which is why Darwin amassed as much evidence as he could in his day and reported it in his published work. And of course, in the 150 years since, mountains of additional evidence have been piled up, all consistent with the theory. Are there areas where the evidence is thin? Sure. This is inevitable in any endeavour to find evidence about past events. But evolution does very well in meeting its burden of proof, as any respectable theory must.
The problem in that regard is with the "creation scientists," who have zero credible evidence. Their so-called theory is not a scientific theory at all.
More than that. Evolution claims to be science. Scientists and scientific theories have to answer challenges to it. They have to disprove the claims of opponents. That is what science is all about, reaching the truth through constant reexamination of theories, of evidence in the light of new knowledge, new questions.