[proofplan]
We translate the semialgebraic description of $A$ into a quantifier-free formula in the language of ordered rings with parameters from $F$. The image under projection is then described exactly by existentially quantifying the eliminated coordinate. Tarski-Seidenberg quantifier elimination for real closed fields removes this existential quantifier, producing a quantifier-free formula in the remaining variables. That quantifier-free formula defines a semialgebraic subset of $F^n$, which is precisely $\pi(A)$.
[/proofplan]
[step:Represent $A$ by a quantifier-free formula with parameters from $F$]
Because $A \subset F^{n+1}$ is semialgebraic over $F$, there exists a quantifier-free formula $\theta(x_1,\dots,x_n,y)$ in the language of ordered rings, with parameters from $F$, such that for every $(a_1,\dots,a_n,b) \in F^{n+1}$,
\begin{align*}
(a_1,\dots,a_n,b) \in A
\iff
F \models \theta(a_1,\dots,a_n,b).
\end{align*}
Here $F \models \theta(a_1,\dots,a_n,b)$ means that the formula $\theta$ is true in the ordered field $F$ after substituting $a_i$ for $x_i$ and $b$ for $y$.
[/step]
[step:Express the projection by existential quantification]
Define the formula $\varphi(x_1,\dots,x_n)$ by
\begin{align*}
\varphi(x_1,\dots,x_n) \equiv \exists y\, \theta(x_1,\dots,x_n,y).
\end{align*}
For every $a=(a_1,\dots,a_n) \in F^n$, we have
\begin{align*}
a \in \pi(A)
&\iff \text{there exists } b \in F \text{ such that } (a_1,\dots,a_n,b) \in A \\
&\iff \text{there exists } b \in F \text{ such that } F \models \theta(a_1,\dots,a_n,b) \\
&\iff F \models \exists y\,\theta(a_1,\dots,a_n,y) \\
&\iff F \models \varphi(a_1,\dots,a_n).
\end{align*}
Thus $\pi(A)$ is the subset of $F^n$ defined by the first-order formula $\varphi$.
[/step]
[step:Eliminate the existential quantifier over the real closed field $F$]
By Tarski-Seidenberg quantifier elimination for real closed fields (citing a result not yet in the wiki: [Tarski-Seidenberg Quantifier Elimination Theorem](/theorems/4315) for real closed fields), every first-order formula in the language of ordered rings with parameters from $F$ is equivalent over the real closed field $F$ to a quantifier-free formula with the same free variables and the same parameters.
Applying this result to $\varphi(x_1,\dots,x_n)$, there exists a quantifier-free formula $\eta(x_1,\dots,x_n)$ in the language of ordered rings, with parameters from $F$, such that for every $a=(a_1,\dots,a_n) \in F^n$,
\begin{align*}
F \models \varphi(a_1,\dots,a_n)
\iff
F \models \eta(a_1,\dots,a_n).
\end{align*}
Combining this equivalence with the previous step gives
\begin{align*}
a \in \pi(A)
\iff
F \models \eta(a_1,\dots,a_n)
\end{align*}
for every $a=(a_1,\dots,a_n) \in F^n$.
[/step]
[step:Conclude that the quantifier-free definition is semialgebraic]
A quantifier-free formula in the language of ordered rings with parameters from $F$ is a finite Boolean combination of polynomial equalities and polynomial inequalities with coefficients in $F$. Therefore the subset of $F^n$ defined by $\eta(x_1,\dots,x_n)$ is semialgebraic over $F$.
Since this subset is exactly $\pi(A)$ by the equivalence established above, $\pi(A)$ is semialgebraic over $F$. This proves the theorem.
[/step]