That's an interesting interpretation, but I was under the impression that the word "proves" was meant in its older sense as "tests". The phrase "the exception tests the rule" would convey the same "well, if you have to call out an exception, that means that the rule is otherwise operative" meaning you ascribe to it, but I think the etymology supports it better.
The phrase "exception that proves the rule" is from the Latin "exceptio probat regulam in casibus non exceptis," or "the exception confirms the rule in cases not excepted." The Wikipedia article[0] is actually pretty interesting, and among other things suggests that your interpretation of "proves" as "tests" is false.
