You are correct to say that IF we cannot provide hypotheses explaining how these proteins managed to aggregate and form the structure of a flagella we cannot prove evolution.
But, if one argues that our current state of knowledge provides no explanation for the evolution of the flagella, I would say they lack imagination.
Here's a hypothesis:
If the flagella began as a protein export mechanism, it could have evolved into the Type III secretion system and then into a flagella.
The motor of this proposed protein export mechanism could have started out as a simple pore complex geared towards protein export. Mutations cause some of these exported proteins to adhere to extracellular portions of this export mechanism, forming the tube like structure of the Type III needle. Over time, mutations alter the structure slightly, without harming the function of this apparatus in protein export, causing it to resemble flagella more and more. Without selection pressure against these developments, these changes persist. In fact, genetic drift may cause these changes to become fixed in a population. Gradually, even more changes occur contributing to the drive motor, resulting in the flagella you see today.
Granted, all of the above is merely a story, but that's not to say that it isn't true. I don't think this scenario is that far fetched, and further study of the flagella may even validate it.
At this point I'd like to point out that it could be interesting to look at research into the specific events occurring during flagella assembly; if you think about it, the flagella IS assembled piece by piece. One would think that flagella intermediates would resemble intermediates in flagella evolution. By studying these "assembly line intermediates", function could possibly be derived (my old biology teacher's mantra: form gives function), further answering the question of flagella development.