[proofplan]
We first compute the effect of $s_\alpha$ on $\alpha$ directly from the reflection formula. Then we take a positive root $\beta \ne \alpha$, write it in the simple-root basis, and observe that applying $s_\alpha$ changes only the coefficient of $\alpha$. If the reflected root were negative, all non-$\alpha$ coefficients would have to vanish, forcing $\beta$ to lie on the line $\mathbb{R}\alpha$; the reduced root-system axiom then forces $\beta=\alpha$, a contradiction. Finally, since $s_\alpha$ is an involution, the positive-root preservation gives equality rather than only inclusion.
[/proofplan]
[step:Compute the reflection of the simple root $\alpha$]
Fix $\alpha \in \Delta$. By definition,
\begin{align*}
s_\alpha(\alpha)
&= \alpha - (\alpha,\alpha^\vee)\alpha \\
&= \alpha - \frac{2(\alpha,\alpha)}{(\alpha,\alpha)}\alpha \\
&= -\alpha .
\end{align*}
[/step]
[step:Show that reflecting a different positive root cannot make it negative]
Let $\beta \in \Phi^+ \setminus \{\alpha\}$. Since $\Delta$ is a base for $\Phi$, there are coefficients $n_\delta \in \mathbb{R}_{\ge 0}$, indexed by $\delta \in \Delta$, such that
\begin{align*}
\beta = \sum_{\delta \in \Delta} n_\delta \delta .
\end{align*}
Using the definition of $s_\alpha$, we obtain
\begin{align*}
s_\alpha(\beta)
&= \beta - (\beta,\alpha^\vee)\alpha \\
&= \sum_{\delta \in \Delta \setminus \{\alpha\}} n_\delta \delta
+ \bigl(n_\alpha - (\beta,\alpha^\vee)\bigr)\alpha .
\end{align*}
Thus the coefficients of $s_\alpha(\beta)$ in every simple-root direction $\delta \ne \alpha$ are still $n_\delta$.
Because $s_\alpha$ is a root-system reflection, $s_\alpha(\beta) \in \Phi$. Suppose, for contradiction, that $s_\alpha(\beta) \in -\Phi^+$. Then its expansion in the base $\Delta$ has all coefficients non-positive. Comparing the coefficients in the simple-root basis gives
\begin{align*}
n_\delta \le 0
\qquad \text{for every } \delta \in \Delta \setminus \{\alpha\}.
\end{align*}
Since each $n_\delta \ge 0$, we get $n_\delta = 0$ for every $\delta \ne \alpha$. Hence
\begin{align*}
\beta = n_\alpha \alpha .
\end{align*}
Since $\beta \in \Phi^+$, we have $n_\alpha > 0$. The reduced root-system axiom gives
\begin{align*}
\Phi \cap \mathbb{R}\alpha = \{\alpha,-\alpha\}.
\end{align*}
Therefore the positive root $\beta$ on the line $\mathbb{R}\alpha$ must be $\alpha$, contradicting $\beta \ne \alpha$. Hence $s_\alpha(\beta) \notin -\Phi^+$.
Since every root is either positive or negative with respect to the base $\Delta$, and since $s_\alpha(\beta) \in \Phi$, it follows that
\begin{align*}
s_\alpha(\beta) \in \Phi^+ .
\end{align*}
[guided]
Let $\beta \in \Phi^+ \setminus \{\alpha\}$. The point is to track the simple-root coefficients. Since $\Delta$ is a base, every positive root has a unique expansion with non-negative coefficients in the simple roots, so there are coefficients $n_\delta \in \mathbb{R}_{\ge 0}$ such that
\begin{align*}
\beta = \sum_{\delta \in \Delta} n_\delta \delta .
\end{align*}
Now apply the reflection formula. The only term subtracted from $\beta$ is a scalar multiple of $\alpha$, so no coefficient in any other simple-root direction can change:
\begin{align*}
s_\alpha(\beta)
&= \beta - (\beta,\alpha^\vee)\alpha \\
&= \sum_{\delta \in \Delta \setminus \{\alpha\}} n_\delta \delta
+ \bigl(n_\alpha - (\beta,\alpha^\vee)\bigr)\alpha .
\end{align*}
Thus for every $\delta \in \Delta \setminus \{\alpha\}$, the coefficient of $\delta$ in $s_\alpha(\beta)$ is exactly $n_\delta$.
Because reflections associated to roots preserve the root system, $s_\alpha(\beta)$ is again a root. Assume for contradiction that this root is negative. A negative root has all coefficients non-positive in its expansion in the base $\Delta$. Therefore, for each $\delta \ne \alpha$, the coefficient $n_\delta$ must satisfy
\begin{align*}
n_\delta \le 0 .
\end{align*}
But $\beta$ was positive, so each $n_\delta \ge 0$. Combining the two inequalities gives $n_\delta = 0$ for all $\delta \ne \alpha$. Hence
\begin{align*}
\beta = n_\alpha \alpha .
\end{align*}
Since $\beta$ is a positive root, $n_\alpha > 0$. The reduced root-system axiom says that the only roots on the line through $\alpha$ are $\alpha$ and $-\alpha$:
\begin{align*}
\Phi \cap \mathbb{R}\alpha = \{\alpha,-\alpha\}.
\end{align*}
The positive one is $\alpha$, so $\beta=\alpha$, contradicting the assumption that $\beta \ne \alpha$.
Therefore $s_\alpha(\beta)$ is not negative. Since it is a root, it must be positive:
\begin{align*}
s_\alpha(\beta) \in \Phi^+ .
\end{align*}
[/guided]
[/step]
[step:Upgrade the inclusion to a permutation of $\Phi^+ \setminus \{\alpha\}$]
The previous step proves
\begin{align*}
s_\alpha(\Phi^+ \setminus \{\alpha\}) \subseteq \Phi^+ .
\end{align*}
Also $s_\alpha(\beta) \ne \alpha$ for every $\beta \in \Phi^+ \setminus \{\alpha\}$, because otherwise applying $s_\alpha$ to both sides gives
\begin{align*}
\beta = s_\alpha(\alpha) = -\alpha,
\end{align*}
contradicting $\beta \in \Phi^+$. Hence
\begin{align*}
s_\alpha(\Phi^+ \setminus \{\alpha\}) \subseteq \Phi^+ \setminus \{\alpha\}.
\end{align*}
Finally, $s_\alpha$ is an involution: for every $v \in V$,
\begin{align*}
s_\alpha(s_\alpha(v)) = v .
\end{align*}
Applying the same inclusion to $s_\alpha(\gamma)$ for each $\gamma \in \Phi^+ \setminus \{\alpha\}$ shows that every such $\gamma$ lies in the image. Therefore
\begin{align*}
s_\alpha(\Phi^+ \setminus \{\alpha\}) = \Phi^+ \setminus \{\alpha\}.
\end{align*}
Together with $s_\alpha(\alpha)=-\alpha$, this proves the theorem.
[/step]