We also don't technically have proofs for some of the computational hardness assumptions that popular "real" ZK proof constructions rely on!

This might feel different because those assumptions were chosen in part because people had studied them and they certainly seem to be right, whereas perhaps here nobody has really studied this particular random number theory topic one way or the other.

But in some sense, there isn't a proof that regular ZK proof methods are actually completely zero-knowledge (against a computationally bounded adversary).