[proofplan]
We argue by contradiction. Assume $f$ vanishes on $S = S_1 \times \cdots \times S_n$. By [Membership in the Vanishing Ideal](/theorems/2616), $f$ decomposes as $f = \sum_{j=1}^n h_j g_j$ where $g_j = \prod_{s \in S_j}(X_j - s)$ has degree $d_j + 1$ and $\deg h_j \leq d - (d_j + 1) = \sum_{i \neq j} d_i - 1$. We then show that no term $h_j g_j$ can contribute the monomial $X_1^{d_1} \cdots X_n^{d_n}$ because the degree bound on $h_j$ is too tight, contradicting the assumption that this monomial has a nonzero coefficient in $f$.
[/proofplan]
[step:Assume $f$ vanishes on $S$ and decompose via the Vanishing Ideal theorem]
Suppose for contradiction that $f(x_1, \ldots, x_n) = 0$ for every $(x_1, \ldots, x_n) \in S = S_1 \times \cdots \times S_n$. For each $j = 1, \ldots, n$, define the vanishing polynomial
\begin{align*}
g_j(X_j) = \prod_{s \in S_j}(X_j - s) \in \mathbb{F}[X_j],
\end{align*}
which is monic of degree $|S_j| = d_j + 1$. Since $f$ vanishes on $S$, [Membership in the Vanishing Ideal](/theorems/2616) provides polynomials $h_1, \ldots, h_n \in \mathbb{F}[X_1, \ldots, X_n]$ such that
\begin{align*}
f = \sum_{j=1}^{n} h_j g_j,
\end{align*}
with the degree bound $\deg h_j \leq \deg f - |S_j| = d - (d_j + 1)$ for each $j$, where $d = \sum_{i=1}^n d_i$.
[guided]
The [Membership in the Vanishing Ideal](/theorems/2616) theorem requires: (i) $\mathbb{F}$ is a field, (ii) $S_1, \ldots, S_n$ are non-empty finite subsets of $\mathbb{F}$, (iii) $f$ vanishes on $S_1 \times \cdots \times S_n$. All three conditions hold by hypothesis and our assumption. The theorem produces the decomposition $f = \sum h_j g_j$ with $\deg h_j \leq \deg f - |S_j|$.
Let us compute the degree bound explicitly. We have $\deg f = d = \sum_{i=1}^n d_i$ and $|S_j| = d_j + 1$, so
\begin{align*}
\deg h_j \leq d - (d_j + 1) = \sum_{i=1}^n d_i - d_j - 1 = \sum_{i \neq j} d_i - 1.
\end{align*}
This bound will be the source of the contradiction: it is too restrictive for any $h_j g_j$ to contain the monomial $X_1^{d_1} \cdots X_n^{d_n}$.
[/guided]
[/step]
[step:Show no summand $h_j g_j$ can produce the monomial $X_1^{d_1} \cdots X_n^{d_n}$]
Since the coefficient of $X_1^{d_1} \cdots X_n^{d_n}$ in $f$ is nonzero by hypothesis, and $f = \sum_{j=1}^n h_j g_j$, there must exist some index $j$ for which $h_j g_j$ contributes a nonzero coefficient to $X_1^{d_1} \cdots X_n^{d_n}$.
Fix such a $j$. Since $g_j(X_j) = \prod_{s \in S_j}(X_j - s)$ is a polynomial in $X_j$ alone of degree $d_j + 1$, the product $h_j g_j$ can produce the monomial $X_1^{d_1} \cdots X_n^{d_n}$ only if $h_j$ contains a monomial of the form
\begin{align*}
X_1^{d_1} \cdots X_j^{e_j} \cdots X_n^{d_n}
\end{align*}
for some $e_j \geq 0$ with $e_j + (\text{a contribution of at least } d_j + 1 - e_j' \text{ from } g_j) = d_j$. More precisely, since $g_j$ has degree $d_j + 1$ in $X_j$ and the monomial we need has exponent $d_j$ in $X_j$, the factor $h_j$ must contribute exponent $e_j \leq d_j$ in $X_j$. But $g_j$ contributes at least degree $1$ in $X_j$ to any monomial in $h_j g_j$ that involves $g_j$ (since the lowest-degree term of $g_j$ in $X_j$ is the constant term $\prod_{s \in S_j}(-s)$, and all other terms have degree $\geq 1$ in $X_j$). However, what matters is the total degree constraint.
The total degree of such a monomial in $h_j$ is at least $\sum_{i \neq j} d_i$ (from the exponents $d_i$ in all variables $X_i$ with $i \neq j$, since $g_j$ contributes to the $X_j$-exponent but not to any other variable). Therefore
\begin{align*}
\deg h_j \geq \sum_{i \neq j} d_i.
\end{align*}
But the degree bound from the decomposition gives $\deg h_j \leq \sum_{i \neq j} d_i - 1$. This is a contradiction, since $\sum_{i \neq j} d_i > \sum_{i \neq j} d_i - 1$.
[guided]
The heart of the argument is a degree-counting obstruction. We need to show that the monomial $X_1^{d_1} \cdots X_n^{d_n}$ cannot appear in any $h_j g_j$.
Consider a fixed index $j$. The polynomial $g_j$ involves only the variable $X_j$, so in any monomial of the product $h_j g_j$, the exponents in the variables $X_i$ with $i \neq j$ come entirely from $h_j$. For the product $h_j g_j$ to contain the monomial $X_1^{d_1} \cdots X_n^{d_n}$, the factor $h_j$ must supply at least exponent $d_i$ in each variable $X_i$ with $i \neq j$.
This means $h_j$ must contain a monomial whose exponents in $X_i$ (for $i \neq j$) are at least $d_i$. The total degree of such a monomial in $h_j$ is at least
\begin{align*}
\sum_{i \neq j} d_i + e_j \geq \sum_{i \neq j} d_i,
\end{align*}
where $e_j \geq 0$ is the exponent in $X_j$. Therefore $\deg h_j \geq \sum_{i \neq j} d_i$.
On the other hand, the decomposition from [Membership in the Vanishing Ideal](/theorems/2616) gives $\deg h_j \leq \sum_{i \neq j} d_i - 1$. These two inequalities are incompatible:
\begin{align*}
\sum_{i \neq j} d_i \leq \deg h_j \leq \sum_{i \neq j} d_i - 1,
\end{align*}
which is impossible. So no $h_j g_j$ can contribute the monomial $X_1^{d_1} \cdots X_n^{d_n}$.
Since $f = \sum_{j=1}^n h_j g_j$ and no summand can produce this monomial, the coefficient of $X_1^{d_1} \cdots X_n^{d_n}$ in $f$ must be zero. But this contradicts the hypothesis that the coefficient is nonzero.
[/guided]
[/step]
[step:Conclude that $f$ does not vanish identically on $S$]
The assumption that $f$ vanishes on $S$ leads to a contradiction: the decomposition $f = \sum h_j g_j$ cannot account for the monomial $X_1^{d_1} \cdots X_n^{d_n}$ with its nonzero coefficient. Therefore $f$ is not identically zero on $S = S_1 \times \cdots \times S_n$; there exists at least one point $(x_1, \ldots, x_n) \in S$ with $f(x_1, \ldots, x_n) \neq 0$.
[/step]