[guided]Suppose $\pi_\alpha(x_\lambda) \to \pi_\alpha(x)$ in $X_\alpha$ for every $\alpha \in A$. We must show that $(x_\lambda) \to x$ in $X$ with the product topology.
To establish net convergence, we must show: for every open set $G \subset X$ containing $x$, there exists $\lambda_0 \in \Lambda$ such that $x_\lambda \in G$ for all $\lambda \ge \lambda_0$. Instead of working with arbitrary open sets directly, we exploit the product topology's structure.
The product topology on $X = \prod_{\alpha \in A} X_\alpha$ has the subbasis $\mathcal{S} = \{\pi_\beta^{-1}(U_\beta) : \beta \in A,\, U_\beta \in \tau_\beta\}$. By definition, the basic open sets are finite intersections of subbasis elements. Every open set $G$ containing $x$ contains some basic open neighbourhood of $x$, which has the form
\begin{align*}
B = \pi_{\beta_1}^{-1}(U_{\beta_1}) \cap \pi_{\beta_2}^{-1}(U_{\beta_2}) \cap \cdots \cap \pi_{\beta_m}^{-1}(U_{\beta_m})
\end{align*}
for finitely many indices $\beta_1, \ldots, \beta_m \in A$ and open sets $U_{\beta_j} \subset X_{\beta_j}$ with $\pi_{\beta_j}(x) \in U_{\beta_j}$ for each $j$.
This is the step where the *finiteness* of the intersection is essential — and where the product topology differs from the box topology. The box topology would allow arbitrary (possibly infinite) intersections of conditions, and the argument below would fail because a directed set need not have an upper bound for infinitely many elements.
For each $j \in \{1, \ldots, m\}$, we use the hypothesis that $\pi_{\beta_j}(x_\lambda) \to \pi_{\beta_j}(x)$ in $X_{\beta_j}$. Since $U_{\beta_j}$ is an open neighbourhood of $\pi_{\beta_j}(x)$, there exists $\lambda_j \in \Lambda$ such that
\begin{align*}
\pi_{\beta_j}(x_\lambda) \in U_{\beta_j} \quad \text{for all } \lambda \ge \lambda_j.
\end{align*}
We now have finitely many indices $\lambda_1, \ldots, \lambda_m \in \Lambda$. Since $\Lambda$ is a directed set, for any finite collection of elements there exists an upper bound: choose $\lambda_0 \in \Lambda$ with $\lambda_0 \ge \lambda_j$ for all $j = 1, \ldots, m$. For every $\lambda \ge \lambda_0$, we have $\lambda \ge \lambda_j$ for each $j$, so $\pi_{\beta_j}(x_\lambda) \in U_{\beta_j}$ for all $j = 1, \ldots, m$. By definition of the basic open set $B$, this means $x_\lambda \in B \subset G$.
Since $G$ was an arbitrary open neighbourhood of $x$ in $X$, we conclude $(x_\lambda) \to x$ in the product topology.[/guided]