It's not about proof. It's about evidence. Is there evidence to believe in an an afterlife? If there is none, and I'm pretty sure that's the case. Then we should not live our lives with respect to that idea. Without an actual and existing belief in the afterlife, who would die for religion? If you are losing the rest of your life and if your life is all you have, then that decision is unreasonable. However, if you believe that by giving up your life it will slingshot you directly into paradise and you and your family will be saved, then it's the unreasonable choice not to do such a thing.
The fact that there's no evidence in favor of the proposition is entirely the reason why you shouldn't accept it. The heterodox nature of skepticism is that you should not believe a proposition for which you have no reasons to suppose that that proposition is true. Even with ideas like the afterlife, which on the surface seem to have no impact on our world, are actually sources for great mistakes and dire problems. You are mistaking the fact that there is no evidence in favor of them to conclude that, they have no effect in reality. For the actual thing this is true. There is no afterlife and therefore afterlives don't permeate our reality, by definition we are unaffected by the non-existent. However, belief in the afterlife does exist in our world and can do great harm.
Advocating for things because they do no harm, while the beliefs in them can do harm, and using that to justify the beliefs is a recipe for belief in a plethora of nothings. We should condone belief in leprechauns because there are no leprechauns, and therefore what can it matter? While some people might *really* believe in leprechauns and spend all their waking hours chasing rainbows to find a pot of gold.
While, this may see alien to us and amusing, it is no less absurd than spending 1/7th of a notably short life in church and a solid 1/2 of the days we tend to have free, praising non-existing self-sacrificing deities who died and rose from the dead fewer times than Xena: Warrior Princess. The beliefs themselves torture the minds of children and poison the minds of adults, they raise the specters demons, spread hate and bigotry and consume the lives of millions with superstitious nonsense.
The fact that believers have no proof is entirely the reason not to accept those claims.